|
The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete. |
|
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P/A Monthly Portfolio Investments Report |
| Confidential | ☐ |
| Filer CIK | 0001388126 |
| Filer CCC | ******** |
| Filer Investment Company Type | |
| Accession Number | 0001752724-22-079864 |
| 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 | Pioneer Diversified High Income Fund, Inc. |
| b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-22014 |
| c. CIK number of Registrant | 0001388126 |
| d. LEI of Registrant | F6XC8RH66QIXRMU75G31 |
| e. Address and telephone number of Registrant: |
| i. Street Address 1 | 60 State Street |
| ii. Street Address 2 | |
| iii. City | Boston |
| iv. State, if applicable | |
| v. Foreign country, if applicable | |
| vi. Zip / Postal Code | 02109 |
| vii. Telephone number | 617-422-4947 |
| a. Name of Series. | Pioneer Diversified High Income Fund, Inc. |
| b. EDGAR series identifier (if any). | |
| c. LEI of Series. | F6XC8RH66QIXRMU75G31 |
| a. Date of fiscal year-end. | 2022-04-30 |
| b. Date as of which information is reported. | 2022-01-31 |
| 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. | 189125132.43 |
| b. Total liabilities. | 65019532.53 |
| c. Net assets. | 124105599.90 |
| a. Assets attributable to miscellaneous securities reported in Part D. | 0.00000000 |
| b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities. | 0.00000000 |
| c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)]. |
| Amounts payable within one year. | |
| Banks or other financial institutions for borrowings. | 60500000.00000000 |
| Controlled companies. | 0.00000000 |
| Other affiliates. | 0.00000000 |
| Others. | 0.00000000 |
| Amounts payable after one year. | |
| Banks or other financial institutions for borrowings. | 0.00000000 |
| Controlled companies. | 0.00000000 |
| Other affiliates. | 0.00000000 |
| Others. | 0.00000000 |
| d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis. |
| (i) On a delayed delivery, when-issued, or other firm commitment basis: | 3378988.57000000 |
| (ii) On a standby commitment basis: | 0.00000000 |
| e. Liquidation preference of outstanding preferred stock issued by the Fund. | 0.00000000 |
| f. Cash and cash equivalents not reported in Parts C and D. | 0.00000000 |
| 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 | Euro Member Countries | |||||
| Interest Rate Risk (DV01) | ||||||
| -55.93000000 | -117.13000000 | -1174.37000000 | 0.00000000 | 0.00000000 | ||
| Interest Rate Risk (DV100) | ||||||
| -5593.00000000 | -11713.00000000 | -117437.00000000 | 0.00000000 | 0.00000000 | ||
| #2 | United States Dollar | |||||
| Interest Rate Risk (DV01) | ||||||
| -2233.80000000 | -1803.33000000 | -31991.98000000 | -1943.63000000 | -20693.94000000 | ||
| Interest Rate Risk (DV100) | ||||||
| -223380.00000000 | -180333.00000000 | -3199198.00000000 | -194363.00000000 | -2069394.00000000 | ||
| 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 | 0.00000000 | -202.00000000 | -1090.00000000 | 0.00000000 | -16483.00000000 |
| Non-Investment grade | -1955.00000000 | -1852.00000000 | -37417.00000000 | -1973.00000000 | -5379.00000000 |
|
For purposes of Item B.3., calculate value as the sum of the absolute values of: (i) the value of each debt security, (ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate; (iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and (iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii). Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity. |
| 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 | -1.74000000 | 1.59000000 | -2.04000000 | C000000000 |
| b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
| Asset category | Instrument type | Month 1 | Month 2 | Month 3 | |||
| Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) | ||
| Commodity Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Credit Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Equity Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Foreign Exchange Contracts | 37245.03000000 | -33850.03000000 | -25449.34000000 | 19589.86000000 | -96918.83000000 | 99817.53000000 | |
| Forward | 37245.03000000 | -122568.92000000 | -25449.34000000 | 50518.09000000 | -96918.83000000 | 25836.53000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 88718.89000000 | 0.00000000 | -30928.23000000 | 0.00000000 | 73981.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Interest Rate Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other Contracts | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Forward | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Future | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Option | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swaption | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Swap | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Warrant | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| Other | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | 0.00000000 | |
| c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers. |
| Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
|---|---|---|
| Month 1 | -210078.07000000 | -2831546.42000000 |
| Month 2 | -256511.81000000 | 1325969.60000000 |
| Month 3 | -335472.20000000 | -3276721.51000000 |
| 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 | 0.00000000 | 11638.88000000 | 0.00000000 |
| Month 2 | 0.00000000 | 12182.62000000 | 0.00000000 |
| Month 3 | 0.00000000 | 6331.09000000 | 0.00000000 |
| 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). | ENTERCOM MEDIA CORP |
| b. LEI (if any) of issuer. (1) | 549300S5JUSXRHNCHD80 |
| c. Title of the issue or description of the investment. | Audacy Capital Corp |
| d. CUSIP (if any). | 29365DAB5 |
| At least one of the following other identifiers: |
| - ISIN | US29365DAB55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNG5B40 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 209362.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.168697061348 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-03-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ATENTO LUXCO 1 SA |
| b. LEI (if any) of issuer. (1) | 549300MLFF3HYCZQTC48 |
| c. Title of the issue or description of the investment. | Atento Luxco 1 SA |
| d. CUSIP (if any). | 04684LAC2 |
| At least one of the following other identifiers: |
| - ISIN | US04684LAC28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCTZT2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1384000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1458706.24000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.175375036400 |
| 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. | 2026-02-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Carnoustie Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Carnoustie Re 2021, 12/31/24 |
| 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 | XILS00265795 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 231715.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 10983.19000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.008849874630 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Gleneagles Re 2022 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gleneagles Re 2022 |
| 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 | XILS00397026 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 251015.27000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.202259422783 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2021-3, 7/31/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2021-3, 7/31/25 |
| 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 | XILS00322493 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 213682.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 198638.79000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.160056266727 |
| 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. | 2025-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLEVELAND-CLIFFS INC |
| b. LEI (if any) of issuer. (1) | 549300TM2WLI2BJMDD86 |
| c. Title of the issue or description of the investment. | Cleveland-Cliffs Inc |
| d. CUSIP (if any). | 185899AG6 |
| At least one of the following other identifiers: |
| - ISIN | US185899AG62 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL399L4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 870000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 911577.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.734517459916 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTL DESIGN GROUP |
| b. LEI (if any) of issuer. (1) | 815600907387ED411436 |
| c. Title of the issue or description of the investment. | International Design Group SPA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1908257873 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGDPSH6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 930000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 1074846.74000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.866074327722 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ITALY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Palisades Center Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Palisades Center Trust 2016-PLSD |
| d. CUSIP (if any). | 69640GAA3 |
| At least one of the following other identifiers: |
| - ISIN | US69640GAA31 |
| Balance. (2) |
| a. Balance | 290000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 259970.94000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.209475591922 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-04-13 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.71298000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDREAMS ODIGEO SA |
| b. LEI (if any) of issuer. (1) | 959800Y8LQ5MR2YZ4N96 |
| c. Title of the issue or description of the investment. | eDreams ODIGEO SA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2435555821 |
| Balance. (2) |
| a. Balance | 680000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 755351.61000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.608636202241 |
| 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. | 2027-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MULTIFAMILY CONNECTICUT AVENUE |
| b. LEI (if any) of issuer. (1) | 5493002KQF9IH3CTQZ40 |
| c. Title of the issue or description of the investment. | Multifamily Connecticut Avenue Securities Trust 2020-01 |
| d. CUSIP (if any). | 62548QAD3 |
| At least one of the following other identifiers: |
| - ISIN | US62548QAD34 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 5131052 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 745327.95000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.600559483698 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2050-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.85771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CAESARS ENTERTAIN INC |
| b. LEI (if any) of issuer. (1) | 549300FA4CTCW903Y781 |
| c. Title of the issue or description of the investment. | Caesars Entertainment Inc |
| d. CUSIP (if any). | 28470RAK8 |
| At least one of the following other identifiers: |
| - ISIN | US28470RAK86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLFBXK5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 510000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 548887.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.442274563309 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VISTRA OPERATIONS CO LLC |
| b. LEI (if any) of issuer. (1) | 549300ZH5GKBTJZ7NM23 |
| c. Title of the issue or description of the investment. | Vistra Operations Co LLC |
| d. CUSIP (if any). | 92840VAB8 |
| At least one of the following other identifiers: |
| - ISIN | US92840VAB80 |
| - 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 | 7000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7142.11000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.005754865216 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 5.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDEN RE II LTD |
| b. LEI (if any) of issuer. (1) | 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment. | Eden Re II Ltd |
| d. CUSIP (if any). | 27954TAB1 |
| At least one of the following other identifiers: |
| - ISIN | US27954TAB17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHXH642 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7125.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 27387.08000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.022067561836 |
| 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. | 2023-03-22 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | State Street Bank and Trust Company |
| b. LEI (if any) of issuer. (1) | 571474TGEMMWANRLN572 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2201260302393 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1658.18000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001336104093 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | State Street Bank and Trust Company | 571474TGEMMWANRLN572 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -305000.00000000 |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 345053.52000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2022-04-28 |
| iv. Unrealized appreciation or depreciation. (24) | 1658.18000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HERCULES LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Hercules LLC |
| d. CUSIP (if any). | 427056BC9 |
| At least one of the following other identifiers: |
| - ISIN | US427056BC94 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B058YQ2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1900000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1907125.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.536695363897 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☒ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | HERCULES LLC | Hercules LLC | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 427056BC9 | ||
| ISIN (if CUSIP is not available) | US427056BC94 | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 2.17800000 | United States Dollar |
| v. Delta (if applicable). | XXXX |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 16 |
| a. Name of issuer (if any). | PT Bakrie & Brothers TBK |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PT Bakrie & Brothers TBK |
| 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 | BNR3QPDS5 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 812959000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Indonesia Rupiah
|
| e. Value. (4) | 5652.61000000 |
| f. Exchange rate. | 14382.00000000 |
| g. Percentage value compared to net assets of the Fund. | 0.004554677633 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2022-12-22 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF NIGERIA |
| b. LEI (if any) of issuer. (1) | 549300GSBZD84TNEQ285 |
| c. Title of the issue or description of the investment. | Nigeria Government International Bond |
| d. CUSIP (if any). | 65412JAS2 |
| At least one of the following other identifiers: |
| - ISIN | US65412JAS24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP814D0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 675000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 628155.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.506145573210 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
NIGERIA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-09-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SHELF DRILL HOLD LTD |
| b. LEI (if any) of issuer. (1) | 54930078ZJ3XP4MRYB68 |
| c. Title of the issue or description of the investment. | Shelf Drilling Holdings Ltd |
| d. CUSIP (if any). | 822538AE4 |
| At least one of the following other identifiers: |
| - ISIN | US822538AE44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFX72C8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 595000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 462642.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.372781123795 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SECTOR RE V LTD |
| b. LEI (if any) of issuer. (1) | 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment. | Sector Re V Ltd |
| d. CUSIP (if any). | 81369ACT7 |
| At least one of the following other identifiers: |
| - ISIN | US81369ACT79 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK70NP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 154540.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.124522986976 |
| 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. | 2024-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | APX GROUP INC |
| b. LEI (if any) of issuer. (1) | 549300OMQVKPRU98OE64 |
| c. Title of the issue or description of the investment. | APX Group Inc |
| d. CUSIP (if any). | 00213MAV6 |
| At least one of the following other identifiers: |
| - ISIN | US00213MAV63 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF2J00 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 462118.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.372359104159 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Natixis Commercial Mortgage Se |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Natixis Commercial Mortgage Securities Trust 2019-FAME |
| d. CUSIP (if any). | 63873VAN3 |
| At least one of the following other identifiers: |
| - ISIN | US63873VAN38 |
| Balance. (2) |
| a. Balance | 900000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 787916.16000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.634875590331 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2036-08-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.39750000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | METINVEST BV |
| b. LEI (if any) of issuer. (1) | 635400TMCKVEU87EJ582 |
| c. Title of the issue or description of the investment. | Metinvest BV |
| d. CUSIP (if any). | 591555AD9 |
| At least one of the following other identifiers: |
| - ISIN | US591555AD93 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXXBK7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 185500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.149469484172 |
| 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. | 2023-04-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Lion Rock Re 2020, 1/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lion Rock Re 2020, 1/31/22 |
| 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 | XILS00171823 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SCHWEITZER-MAUDUIT INTL |
| b. LEI (if any) of issuer. (1) | 549300Z1FU4IDULG1R21 |
| c. Title of the issue or description of the investment. | Schweitzer-Mauduit International Inc |
| d. CUSIP (if any). | 808541AA4 |
| At least one of the following other identifiers: |
| - ISIN | US808541AA42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZ6JV1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 379000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 377105.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.303858166193 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | White Heron Re 2021, 6/30/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | White Heron Re 2021, 6/30/25 |
| 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 | XILS00311850 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5350.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.004310844961 |
| 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. | 2025-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | IHS HOLDING LTD |
| b. LEI (if any) of issuer. (1) | 213800CLGMKL63VKTD94 |
| c. Title of the issue or description of the investment. | IHS Holding Ltd |
| d. CUSIP (if any). | 44963HAB1 |
| At least one of the following other identifiers: |
| - ISIN | US44963HAB15 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLGTTL1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 230000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 231725.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.186715990403 |
| 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. | 2028-11-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BROWN BROTHERS HARRIMAN & CO. |
| b. LEI (if any) of issuer. (1) | 5493006KMX1VFTPYPW14 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2112060514060 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -1512.88000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00121902637 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BROWN BROTHERS HARRIMAN & CO. | 5493006KMX1VFTPYPW14 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -253286.21000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 224000.00000000 |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-02-24 |
| iv. Unrealized appreciation or depreciation. (24) | -1512.88000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Merion Re 2021-2, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Merion Re 2021-2, 12/31/24 |
| 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 | XILS00265333 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 472500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.380724157798 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Summit Midstream Partners LP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Summit Midstream Partners LP |
| d. CUSIP (if any). | 866142409 |
| At least one of the following other identifiers: |
| - ISIN | US8661424098 |
| - Ticker (if ISIN is not available). | SMLP |
| Balance. (2) |
| a. Balance | 5709.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 137529.81000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.110816764199 |
| 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: 30 |
| a. Name of issuer (if any). | PARTY CITY HOLDINGS INC |
| b. LEI (if any) of issuer. (1) | 5493005PYM1JS6EZN307 |
| c. Title of the issue or description of the investment. | Party City Holdings Inc |
| d. CUSIP (if any). | 702150AG8 |
| At least one of the following other identifiers: |
| - ISIN | US702150AG84 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8C3F7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 418000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 420462.02000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.338793753334 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2020-3, 7/1/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2020-3, 7/1/24 |
| 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 | XILS00223142 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 620500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 28160.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.022690998651 |
| 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. | 2024-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EXPEDIA GROUP INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Expedia Group Inc |
| d. CUSIP (if any). | 30212PAS4 |
| At least one of the following other identifiers: |
| - ISIN | US30212PAS48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLD49V9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 95000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 106020.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.085427853445 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CAELUS RE V LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Caelus Re V Ltd |
| d. CUSIP (if any). | 12765KAG0 |
| At least one of the following other identifiers: |
| - ISIN | US12765KAG04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZCPN3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 25.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000020144135 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-06-09 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.27750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FOUR LAKES RE LTD |
| b. LEI (if any) of issuer. (1) | 549300MG4RRU6DT7MN54 |
| c. Title of the issue or description of the investment. | Four Lakes Re Ltd |
| d. CUSIP (if any). | 35087TAB4 |
| At least one of the following other identifiers: |
| - ISIN | US35087TAB44 |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 252425.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.203395334459 |
| 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. | 2024-01-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.67750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GREIF INC |
| b. LEI (if any) of issuer. (1) | 54930070FVGKR0Z1FI24 |
| c. Title of the issue or description of the investment. | Greif Inc |
| d. CUSIP (if any). | 397624AH0 |
| At least one of the following other identifiers: |
| - ISIN | US397624AH07 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJJQGY7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 730000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 755623.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.608854878916 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DCP MIDSTREAM OPERATING |
| b. LEI (if any) of issuer. (1) | 549300Y6CTBSE0QIPL28 |
| c. Title of the issue or description of the investment. | DCP Midstream Operating LP |
| d. CUSIP (if any). | 23311VAF4 |
| At least one of the following other identifiers: |
| - ISIN | US23311VAF40 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKR3FX9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 230000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 266459.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.214703929729 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 5.60000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DIAMOND SPORTS GR/DIAMON |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Diamond Sports Group LLC / Diamond Sports Finance Co |
| d. CUSIP (if any). | 25277LAC0 |
| At least one of the following other identifiers: |
| - ISIN | US25277LAC00 |
| - 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 | 665000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 171237.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.137977254965 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Dartmouth Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Dartmouth Re 2021, 12/31/24 |
| 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 | XILS00266502 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 56920.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.045864167326 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | OLYMPUS WTR US HLDG CORP |
| b. LEI (if any) of issuer. (1) | 549300YU2GGVCBN3MY89 |
| c. Title of the issue or description of the investment. | Olympus Water US Holding Corp |
| d. CUSIP (if any). | 681639AB6 |
| At least one of the following other identifiers: |
| - ISIN | US681639AB60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNQN3H1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 205000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 194750.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.156922814246 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2018-3, 7/1/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2018-3, 7/1/22 |
| 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 | BNR3WRSC3 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 20743.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.016714314274 |
| 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. | 2022-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ARCHROCK PARTNERS LP/FIN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Archrock Partners LP / Archrock Partners Finance Corp |
| d. CUSIP (if any). | 03959KAA8 |
| At least one of the following other identifiers: |
| - ISIN | US03959KAA88 |
| - 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 | 521000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 534363.65000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.430571747310 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BROWN BROTHERS HARRIMAN & CO. |
| b. LEI (if any) of issuer. (1) | 5493006KMX1VFTPYPW14 |
| c. Title of the issue or description of the investment. | DESARROLLADORA HOMEX SAB DE CV |
| 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 | BNR2JLJB5 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 18332.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | 20.62800000 |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BROWN BROTHERS HARRIMAN & CO. | 5493006KMX1VFTPYPW14 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Desarrolladora Homex SAB de CV |
| Title of issue. | Desarrolladora Homex SAB de CV |
| At least one of the following other identifiers: |
| - ISIN (if CUSIP is not available). | MX01HO000007 |
| - Ticker (if CUSIP and ISIN are not available). | HOMEX* |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B01RQ23 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 1.00000000 |
| v. Exercise price or rate. | 0.01000000 |
| vi. Exercise Price Currency Code |
Mexico Peso
|
| vii. Expiration date. | 2022-10-23 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -0.01000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Woburn Re 2019, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Woburn Re 2019, 12/31/22 |
| 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 | BNR4A2ZY4 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 499829.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 127141.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.102446384451 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PHOENIX ONE RE, 1/4/27 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PHOENIX ONE RE, 1/4/27 |
| 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 | 34DKV3 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 268475.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.216327869343 |
| 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. | 2027-01-04 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AETHON UN/AETHIN UN FIN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Aethon United BR LP / Aethon United Finance Corp |
| d. CUSIP (if any). | 00810GAC8 |
| At least one of the following other identifiers: |
| - ISIN | US00810GAC87 |
| - 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 | 1160000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1221630.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.984347846498 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NCL FINANCE LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NCL Finance Ltd |
| d. CUSIP (if any). | 62888HAA7 |
| At least one of the following other identifiers: |
| - ISIN | US62888HAA77 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNQPS27 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 170000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 160769.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.129542099735 |
| 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. | 2028-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VEDANTA RESOURCES LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Vedanta Resources Ltd |
| d. CUSIP (if any). | 92241TAK8 |
| At least one of the following other identifiers: |
| - ISIN | US92241TAK88 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD31JP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 371051.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.298980263822 |
| 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. | 2022-07-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DELEK LOG PART/FINANCE |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Delek Logistics Partners LP / Delek Logistics Finance Corp |
| d. CUSIP (if any). | 24665FAC6 |
| At least one of the following other identifiers: |
| - ISIN | US24665FAC68 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXXLD9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 510000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 517395.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.416898996029 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TURKIYE VAKIFLAR BANKASI |
| b. LEI (if any) of issuer. (1) | 789000KAIHOLSQKQ9858 |
| c. Title of the issue or description of the investment. | Turkiye Vakiflar Bankasi TAO |
| d. CUSIP (if any). | 90015WAE3 |
| At least one of the following other identifiers: |
| - ISIN | US90015WAE30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF00H69 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 344000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 341621.58000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.275266853611 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
TURKEY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Harambee Re 2020, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Harambee Re 2020, 12/31/23 |
| 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 | XILS00171922 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 19850.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.015994443454 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Capital Funding Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Capital Funding Mortgage Trust |
| d. CUSIP (if any). | 14019QAB8 |
| At least one of the following other identifiers: |
| - ISIN | US14019QAB86 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 999039.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.804991072767 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-11-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 16.46000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SOVCOMBANK (SOVCOM CAPT) |
| b. LEI (if any) of issuer. (1) | 635400EQFFCXMNLYU680 |
| c. Title of the issue or description of the investment. | Sovcombank Via SovCom Capital DAC |
| d. CUSIP (if any). | 84605LAD8 |
| At least one of the following other identifiers: |
| - ISIN | US84605LAD82 |
| Balance. (2) |
| a. Balance | 865000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 777548.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.626521688486 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.60000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TEAM HEALTH HOLDINGS INC |
| b. LEI (if any) of issuer. (1) | 549300PVTQ4UDTTMQT11 |
| c. Title of the issue or description of the investment. | Team Health Holdings Inc |
| d. CUSIP (if any). | 87817JAE8 |
| At least one of the following other identifiers: |
| - ISIN | US87817JAE82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2287177 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 363370.16250000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 350107.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.282104232429 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-02-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTER-AMERICAN DEVEL BK |
| b. LEI (if any) of issuer. (1) | VKU1UKDS9E7LYLMACP54 |
| c. Title of the issue or description of the investment. | Inter-American Development Bank |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1377496457 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYSXRG3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4840000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Indonesia Rupiah
|
| e. Value. (4) | 346997.91000000 |
| f. Exchange rate. | 14382.00000000 |
| g. Percentage value compared to net assets of the Fund. | 0.279598914375 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) | N/A |
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-03-14 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NRG ENERGY INC |
| b. LEI (if any) of issuer. (1) | 5E2UPK5SW04M13XY7I38 |
| c. Title of the issue or description of the investment. | NRG Energy Inc |
| d. CUSIP (if any). | 629377CC4 |
| At least one of the following other identifiers: |
| - ISIN | US629377CC47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYQJCN5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 126000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130252.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.104952959499 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST QUANTUM MINERALS L |
| b. LEI (if any) of issuer. (1) | 549300I7UVBGWRYMYZ18 |
| c. Title of the issue or description of the investment. | First Quantum Minerals Ltd |
| d. CUSIP (if any). | 335934AR6 |
| At least one of the following other identifiers: |
| - ISIN | US335934AR67 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZYRK0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 516250.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.415976394631 |
| 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. | 2026-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Capital Funding Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Capital Funding Mortgage Trust 2021-8 |
| d. CUSIP (if any). | 14021RAB2 |
| At least one of the following other identifiers: |
| - ISIN | US14021RAB24 |
| Balance. (2) |
| a. Balance | 288017.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 288017.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.232074137051 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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) | Floating |
| ii. Annualized rate. | 14.35000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALTICE FRANCE HOLDING SA |
| b. LEI (if any) of issuer. (1) | 5299000JVHXKJPOE6H40 |
| c. Title of the issue or description of the investment. | Altice France Holding SA |
| d. CUSIP (if any). | 02156TAA2 |
| At least one of the following other identifiers: |
| - ISIN | US02156TAA25 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJP8GP8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 695000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 634291.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.511090354110 |
| 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. | 2028-02-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENLINK MIDSTREAM PARTNER |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | EnLink Midstream Partners LP |
| d. CUSIP (if any). | 29336UAG2 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAG22 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDVJS80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 145000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 129050.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.103984026590 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2047-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.45000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| b. LEI (if any) of issuer. (1) | B4TYDEB6GKMZO031MB27 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FX1039046 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -1700000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | -7000.82000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | -0.00564101862 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| Identification of investment. |
| Name of issuer (if any). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| LEI (if any) of issuer. (22) | B4TYDEB6GKMZO031MB27 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | AAPI060_FX1039046_955_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-10-19 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | -1700000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.20230000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-10-19 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 19123.99000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2020-3, 9/30/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2020-3, 9/30/24 |
| 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 | XILS00216310 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 225450.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1645.79000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001326120659 |
| 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. | 2024-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HUDBAY MINERALS INC |
| b. LEI (if any) of issuer. (1) | 549300WI524AL577IX21 |
| c. Title of the issue or description of the investment. | Hudbay Minerals Inc |
| d. CUSIP (if any). | 443628AH5 |
| At least one of the following other identifiers: |
| - ISIN | US443628AH54 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7S9J9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 405000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 420491.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.338817305857 |
| 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. | 2029-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LIMESTONE RE LTD |
| b. LEI (if any) of issuer. (1) | 5493004PN8HGYC184A27 |
| c. Title of the issue or description of the investment. | Limestone Re Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2012992256 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKDVCH0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 27000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3496.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.002817358767 |
| 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. | 2023-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MEG ENERGY CORP |
| b. LEI (if any) of issuer. (1) | 5493002WXPTG5ZC1T326 |
| c. Title of the issue or description of the investment. | MEG Energy Corp |
| d. CUSIP (if any). | 552704AE8 |
| At least one of the following other identifiers: |
| - ISIN | US552704AE86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHNFPR2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 825000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 855937.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.689684833472 |
| 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. | 2027-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Gleneagles Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gleneagles Re 2021, 12/31/24 |
| 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 | XILS00268141 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 59886.01000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.048254075600 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HOWMET AEROSPACE INC |
| b. LEI (if any) of issuer. (1) | 549300HO5WFZUT5N2T22 |
| c. Title of the issue or description of the investment. | Howmet Aerospace Inc |
| d. CUSIP (if any). | 443201AA6 |
| At least one of the following other identifiers: |
| - ISIN | US443201AA64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXPRV5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 280000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 309562.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.249434675187 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RESILIENCE RE LTD |
| b. LEI (if any) of issuer. (1) | 549300MGGTJ8JMVTOJ89 |
| c. Title of the issue or description of the investment. | Resilience Re Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | BMG7527LAD75 |
| Balance. (2) |
| a. Balance | 700000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2022-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SIERRACOL ENRGY ANDINA |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | SierraCol Energy Andina LLC |
| d. CUSIP (if any). | 82653LAA9 |
| At least one of the following other identifiers: |
| - ISIN | US82653LAA98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL986Q9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 900000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 837000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.674425650957 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HSBC SECURITIES (USA) INC. |
| b. LEI (if any) of issuer. (1) | CYYGQCGNHMHPSMRL3R97 |
| c. Title of the issue or description of the investment. | USD/EUR FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2112200274576 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -4613.73000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.00371758406 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | HSBC SECURITIES (USA) INC. | CYYGQCGNHMHPSMRL3R97 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -735774.91000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 650000.00000000 |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-03-25 |
| iv. Unrealized appreciation or depreciation. (24) | -4613.73000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Torricelli Re 2021, 7/31/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Torricelli Re 2021, 7/31/25 |
| 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 | XILS00322417 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 375860.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 354849.43000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.285925397633 |
| 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. | 2025-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALTICE FRANCE HOLDING SA |
| b. LEI (if any) of issuer. (1) | 5299000JVHXKJPOE6H40 |
| c. Title of the issue or description of the investment. | Altice France Holding SA |
| d. CUSIP (if any). | 02156TAB0 |
| At least one of the following other identifiers: |
| - ISIN | US02156TAB08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJP8GV4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 607000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 644178.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.519056956752 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MORGAN STANLEY & CO. LLC |
| b. LEI (if any) of issuer. (1) | 9R7GPTSO7KV3UQJZQ078 |
| c. Title of the issue or description of the investment. | USD/GBP FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2111150471162 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1598.05000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001287653418 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | MORGAN STANLEY & CO. LLC | 9R7GPTSO7KV3UQJZQ078 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -1103570.92000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 822000.00000000 |
| Description of currency purchased. |
United Kingdom Pound
|
| iii. Settlement date. | 2022-03-23 |
| iv. Unrealized appreciation or depreciation. (24) | 1598.05000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SURGERY CENTER HOLDINGS |
| b. LEI (if any) of issuer. (1) | 54930054EVI5HWPPW113 |
| c. Title of the issue or description of the investment. | Surgery Center Holdings Inc |
| d. CUSIP (if any). | 86881WAD4 |
| At least one of the following other identifiers: |
| - ISIN | US86881WAD48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJWZMN2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1066000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1120632.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.902966909553 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 10.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Walton Health Re 2019, 6/30/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Walton Health Re 2019, 6/30/22 |
| 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 | XILS00143041 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 208650.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.168122953491 |
| 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. | 2022-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTL BK RECON & DEVELOP |
| b. LEI (if any) of issuer. (1) | ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment. | International Bank for Reconstruction & Development |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2368221680 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN72VW8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 249925.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201380920926 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) | N/A |
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-12-29 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.49040000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UNIFIN FINANCIERA SA DE |
| b. LEI (if any) of issuer. (1) | 5493007GRMPGDJG93Z17 |
| c. Title of the issue or description of the investment. | Unifin Financiera SAB de CV |
| d. CUSIP (if any). | 90471MAA0 |
| At least one of the following other identifiers: |
| - ISIN | US90471MAA09 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ9MTW4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1174000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 696182.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.560959376982 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2028-01-27 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | 549300YG8OJES76WL398 |
| c. Title of the issue or description of the investment. | STACR Trust 2018-HRP2 |
| d. CUSIP (if any). | 35564ACC3 |
| At least one of the following other identifiers: |
| - ISIN | US35564ACC36 |
| Balance. (2) |
| a. Balance | 640000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 722352.32000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.582046515694 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2047-02-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.60771000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Carnoustie Re 2022 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Carnoustie Re 2022 |
| 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 | XILS00398337 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 223952.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 225436.19000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.181648684814 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Citibank, National Association |
| b. LEI (if any) of issuer. (1) | E57ODZWZ7FF32TWEFA76 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2111160519166 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9909.11000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.007984418114 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -813000.00000000 |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 923711.41000000 |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2022-02-24 |
| iv. Unrealized appreciation or depreciation. (24) | 9909.11000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NEPTUNE ENERGY BONDCO |
| b. LEI (if any) of issuer. (1) | 549300CPMT8I2QBRYF88 |
| c. Title of the issue or description of the investment. | Neptune Energy Bondco PLC |
| d. CUSIP (if any). | 64073KAA1 |
| At least one of the following other identifiers: |
| - ISIN | US64073KAA16 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFMFKC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 603000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 610537.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.491950001041 |
| 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. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Harambee Re 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Harambee Re 2018, 12/31/21 |
| 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 | BNR3M5Y01 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1800.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001450377743 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2019-2, 3/10/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2019-2, 3/10/22 |
| 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 | 33YLKH |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3037.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4276.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.003445533483 |
| 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. | 2023-03-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENDO DAC/FIN LLC/FINCO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Endo Dac / Endo Finance LLC / Endo Finco Inc |
| d. CUSIP (if any). | 29273DAB6 |
| At least one of the following other identifiers: |
| - ISIN | US29273DAB64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2X3Q4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 234000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 231121.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.186229952706 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) | N/A |
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Lorenz Re 2020, 6/30/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lorenz Re 2020, 6/30/23 |
| 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 | XILS00219068 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 63338.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2919.88000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.002352738315 |
| 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. | 2023-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RESIDENTIAL RE 19 LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Residential Reinsurance 2019 Ltd |
| d. CUSIP (if any). | 76120FAD3 |
| At least one of the following other identifiers: |
| - ISIN | US76120FAD33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJXT0C8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245400.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.197734832431 |
| 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. | 2023-12-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 12.40750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Versutus Re 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Versutus Re 2018, 12/31/21 |
| 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 | BNR3MF0E6 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000483459247 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Denning Re 2021, 7/31/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Denning Re 2021, 7/31/25 |
| 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 | XILS00323559 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 250416.74000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201777148010 |
| 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. | 2025-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LSF11 A5 HOLDCO LLC |
| b. LEI (if any) of issuer. (1) | 254900FPK7P5WNA66Y10 |
| c. Title of the issue or description of the investment. | LSF11 A5 HoldCo LLC |
| d. CUSIP (if any). | 50221DAA7 |
| At least one of the following other identifiers: |
| - ISIN | US50221DAA72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXD850 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 416500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.335601294651 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TMS INTERNATIONAL CORP |
| b. LEI (if any) of issuer. (1) | 549300L4K0F1YF8WKF23 |
| c. Title of the issue or description of the investment. | TMS International Corp/DE |
| d. CUSIP (if any). | 87261QAC7 |
| At least one of the following other identifiers: |
| - ISIN | US87261QAC78 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNSM3Z4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 870000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 839550.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.676480352761 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UNITI GRP/UNITI HLD/CSL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC |
| d. CUSIP (if any). | 91327AAB8 |
| At least one of the following other identifiers: |
| - ISIN | US91327AAB89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPBK779 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 890000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 810861.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.653363909971 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLEVELAND-CLIFFS INC |
| b. LEI (if any) of issuer. (1) | 549300TM2WLI2BJMDD86 |
| c. Title of the issue or description of the investment. | Cleveland-Cliffs Inc |
| d. CUSIP (if any). | 185899AJ0 |
| At least one of the following other identifiers: |
| - ISIN | US185899AJ02 |
| - 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 | 71000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 79356.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.063942884176 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 9.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Portrush Re 2017, 6/15/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Portrush Re 2017, 6/15/22 |
| 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 | BNR38PK57 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 478575.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.385619182684 |
| 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. | 2022-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Gullane Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gullane Re 2021, 12/31/24 |
| 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 | XILS00265339 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 900000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 793800.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.639616585101 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Morgan Stanley Capital I Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Morgan Stanley Capital I Trust 2019-BPR |
| d. CUSIP (if any). | 61769GAL1 |
| At least one of the following other identifiers: |
| - ISIN | US61769GAL14 |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 644744.33000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.519512681554 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2036-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.10600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2020-KF83 Mortgage Trust |
| d. CUSIP (if any). | 302696AA7 |
| At least one of the following other identifiers: |
| - ISIN | US302696AA72 |
| Balance. (2) |
| a. Balance | 652097.44000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 657743.43000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.529986906739 |
| 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. | 2030-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.10125000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WESCO DISTRIBUTION INC |
| b. LEI (if any) of issuer. (1) | 549300I2CEZJG9N4AH67 |
| c. Title of the issue or description of the investment. | WESCO Distribution Inc |
| d. CUSIP (if any). | 95081QAP9 |
| At least one of the following other identifiers: |
| - ISIN | US95081QAP90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYMZT9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 245000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 262417.05000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.211446582758 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SYLVAMO CORP |
| b. LEI (if any) of issuer. (1) | 5493001AOYU1ZOWOC971 |
| c. Title of the issue or description of the investment. | Sylvamo Corp |
| d. CUSIP (if any). | 87133LAA8 |
| At least one of the following other identifiers: |
| - ISIN | US87133LAA89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL688F5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1175000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1207900.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.973284042761 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KB HOME |
| b. LEI (if any) of issuer. (1) | 549300LGUCWQURMWLG09 |
| c. Title of the issue or description of the investment. | KB Home |
| d. CUSIP (if any). | 48666KAV1 |
| At least one of the following other identifiers: |
| - ISIN | US48666KAV17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BWC54S2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 340000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 353175.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.284576199852 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Thopas Re 2020, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Thopas Re 2020, 12/31/23 |
| 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 | XILS00171925 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 300000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2130.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001716280330 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FORTRESS TRANS & INFRAST |
| b. LEI (if any) of issuer. (1) | 529900E7PUVK6BC8PE80 |
| c. Title of the issue or description of the investment. | Fortress Transportation and Infrastructure Investors LLC |
| d. CUSIP (if any). | 34960PAC5 |
| At least one of the following other identifiers: |
| - ISIN | US34960PAC59 |
| - 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 | 325000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 355875.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.286751766468 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 9.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDEN RE II LTD |
| b. LEI (if any) of issuer. (1) | 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment. | Eden Re II Ltd |
| d. CUSIP (if any). | 27955HAB6 |
| At least one of the following other identifiers: |
| - ISIN | US27955HAB69 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXRYX2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 180000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 143400.01000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.115546768329 |
| 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. | 2025-03-21 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2019-1, 2/1/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2019-1, 2/1/23 |
| 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 | BNR4941C7 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 819247.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 17071.04000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.013755253601 |
| 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. | 2023-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RED CARRETERAS OCCIDE |
| b. LEI (if any) of issuer. (1) | 549300L1K86IY3XOY318 |
| c. Title of the issue or description of the investment. | Red de Carreteras de Occidente SAB de CV |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS0936794154 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BB2D0Y7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 3780000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 180691.18000000 |
| f. Exchange rate. | 20.62800000 |
| g. Percentage value compared to net assets of the Fund. | 0.145594703337 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2028-06-10 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREEDOM MORTGAGE CORP |
| b. LEI (if any) of issuer. (1) | 549300LYRWPSYPK6S325 |
| c. Title of the issue or description of the investment. | Freedom Mortgage Corp |
| d. CUSIP (if any). | 35640YAA5 |
| At least one of the following other identifiers: |
| - ISIN | US35640YAA55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF57XM3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 247000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 247308.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.199272837163 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MC BRAZIL DWNSTRM |
| b. LEI (if any) of issuer. (1) | 213800T2A7R9TYNXZI63 |
| c. Title of the issue or description of the investment. | MC Brazil Downstream Trading SARL |
| d. CUSIP (if any). | 55292WAA8 |
| At least one of the following other identifiers: |
| - ISIN | US55292WAA80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNTMV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1355000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1294038.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.042691507105 |
| 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. | 2031-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MCF CLO LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MCF CLO VII LLC |
| d. CUSIP (if any). | 55281FAS9 |
| At least one of the following other identifiers: |
| - ISIN | US55281FAS92 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 976847.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.787109526715 |
| 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) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2033-07-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.40400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GRUPO AEROMEXICO SAB |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Grupo Aeromexico SAB de CV |
| 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 | BL3434349 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 535000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 539012.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.434317629852 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2022-08-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 9.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PATRICK INDUSTRIES INC |
| b. LEI (if any) of issuer. (1) | 549300FZ5ZTCCJ3Z5W14 |
| c. Title of the issue or description of the investment. | Patrick Industries Inc |
| d. CUSIP (if any). | 703343AC7 |
| At least one of the following other identifiers: |
| - ISIN | US703343AC76 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKF781 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1001000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1051050.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.846899737680 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | OXFORD FIN LLC/CO-ISS II |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Oxford Finance LLC / Oxford Finance Co-Issuer II Inc |
| d. CUSIP (if any). | 69145LAA2 |
| At least one of the following other identifiers: |
| - ISIN | US69145LAA26 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF3VXY9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 615000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 614803.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.495387154564 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sussex Re 2021-1, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Sussex Re 2021-1, 12/31/24 |
| 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 | XILS00265783 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 38500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.031021968413 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Lorenz Re 2020, 6/30/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lorenz Re 2020, 6/30/23 |
| 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 | XILS00220073 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 336662.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 15520.12000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.012505575906 |
| 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. | 2023-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ballybunion Re 2021-3, 7/31/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ballybunion Re 2021-3, 7/31/25 |
| 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 | XILS00327653 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 101400.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.081704612911 |
| 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. | 2025-07-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DIEBOLD NIXDORF INC |
| b. LEI (if any) of issuer. (1) | 549300XZK6EWDBAZSY16 |
| c. Title of the issue or description of the investment. | Diebold Nixdorf Inc |
| d. CUSIP (if any). | 253657AA8 |
| At least one of the following other identifiers: |
| - ISIN | US253657AA82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN2SL43 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 80000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 84030.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.067708789988 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALAMO RE II PTE LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alamo Re II Pte Ltd |
| d. CUSIP (if any). | 011396AA6 |
| At least one of the following other identifiers: |
| - ISIN | US011396AA64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF0BJ7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 258675.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.208431368293 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
SINGAPORE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-06-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.62482200 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PAR PHARMACEUTICAL INC |
| b. LEI (if any) of issuer. (1) | 549300KK5WR4MGN4YT97 |
| c. Title of the issue or description of the investment. | Par Pharmaceutical Inc |
| d. CUSIP (if any). | 69888XAA7 |
| At least one of the following other identifiers: |
| - ISIN | US69888XAA72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJQ1Y85 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 381000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 383743.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.309206998160 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF GHANA |
| b. LEI (if any) of issuer. (1) | 213800PP4399SNNXZ126 |
| c. Title of the issue or description of the investment. | Ghana Government International Bond |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS1821416408 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF5L3S1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 373125.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.300651219848 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
GHANA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2049-06-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.62700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ballybunion Re 2020, 2/28/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ballybunion Re 2020, 2/28/22 |
| 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 | XILS00203915 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 77375.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.062346098856 |
| 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. | 2023-02-28 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RESIDENTIAL RE 21 LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Residential Reinsurance 2021 Ltd |
| d. CUSIP (if any). | 76114NAE2 |
| At least one of the following other identifiers: |
| - ISIN | US76114NAE22 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNVRQX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 499500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.402479823958 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-12-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.92750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Project Watson Bridge Loan 5% 03/25/2022 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Project Watson Bridge Loan 5% 03/25/2022 |
| 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 | 8744343 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 2065000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 2065000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.663905578526 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-03-25 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KILIMANJARO III RE LTD |
| b. LEI (if any) of issuer. (1) | 549300TOWVCRIW71JM30 |
| c. Title of the issue or description of the investment. | Kilimanjaro III Re Ltd |
| d. CUSIP (if any). | 49407PAE0 |
| At least one of the following other identifiers: |
| - ISIN | US49407PAE07 |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 250375.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201743515362 |
| 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. | 2025-04-21 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.42750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | FX1042843 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1680000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 15796.81000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.012728523138 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| Identification of investment. |
| Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of issuer. (22) | FOR8UP27PHTHYVLBNG30 |
| Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | AAPI060_FX1042843_5_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2022-02-14 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 1680000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.13000000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-02-14 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 4429.41000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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). | 097751BV2 |
| At least one of the following other identifiers: |
| - ISIN | US097751BV25 |
| - 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 | 450000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 457614.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.368729533855 |
| 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. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENLINK MIDSTREAM PARTNER |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | EnLink Midstream Partners LP |
| d. CUSIP (if any). | 29336UAD9 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAD90 |
| - 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 | 118000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 101126.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.081483833188 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 5.05000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DELTA AIR LINES INC |
| b. LEI (if any) of issuer. (1) | Q2CCMS6R0AS67HJMBN42 |
| c. Title of the issue or description of the investment. | Delta Air Lines Inc |
| d. CUSIP (if any). | 247361ZZ4 |
| At least one of the following other identifiers: |
| - ISIN | US247361ZZ42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTQL10 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 155000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 176259.12000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.142023502679 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Amaranth Re 2022 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Amaranth Re 2022 |
| 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 | XILS00396719 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 223291.29000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.179920398579 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PRIME SECSRVC BRW/FINANC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Prime Security Services Borrower LLC / Prime Finance Inc |
| d. CUSIP (if any). | 74166MAE6 |
| At least one of the following other identifiers: |
| - ISIN | US74166MAE66 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKVKXB0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 935000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 931320.78000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.750426073239 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CAELUS RE V LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Caelus Re V Ltd |
| d. CUSIP (if any). | 12765KAC9 |
| At least one of the following other identifiers: |
| - ISIN | US12765KAC99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD45R88 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 20000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.016115308266 |
| 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. | 2024-06-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.27750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KERNEL HOLDING SA |
| b. LEI (if any) of issuer. (1) | 5493003GR6L4DZOS2U12 |
| c. Title of the issue or description of the investment. | Kernel Holding SA |
| d. CUSIP (if any). | 49229QAB0 |
| At least one of the following other identifiers: |
| - ISIN | US49229QAB05 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJX9RR2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 815000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 741813.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.597727258558 |
| 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. | 2024-10-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Fannie Mae - CAS |
| b. LEI (if any) of issuer. (1) | B1V7KEBTPIMZEU4LTD58 |
| c. Title of the issue or description of the investment. | Fannie Mae Connecticut Avenue Securities |
| d. CUSIP (if any). | 20754KAJ0 |
| At least one of the following other identifiers: |
| - ISIN | US20754KAJ07 |
| Balance. (2) |
| a. Balance | 100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 98955.41000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.079734846839 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2041-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.24967000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CIDRON AIDA FINCO SARL |
| b. LEI (if any) of issuer. (1) | 98450036A07991DEBF10 |
| c. Title of the issue or description of the investment. | Cidron Aida Finco Sarl |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2325700081 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMTR2K9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 345000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 374171.88000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.301494759544 |
| 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. | 2028-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2020-KF74 Mortgage Trust |
| d. CUSIP (if any). | 30313MAC4 |
| At least one of the following other identifiers: |
| - ISIN | US30313MAC47 |
| Balance. (2) |
| a. Balance | 569202.58000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 569378.18000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.458785244548 |
| 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. | 2027-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.35125000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bantry RE 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Bantry RE 2018, 12/31/21 |
| 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 | BNR4B8Q79 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5700.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.004592862855 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ARTERA SERVICES LLC |
| b. LEI (if any) of issuer. (1) | 549300J2G34D0WX8Z443 |
| c. Title of the issue or description of the investment. | Artera Services LLC |
| d. CUSIP (if any). | 73939VAA2 |
| At least one of the following other identifiers: |
| - ISIN | US73939VAA26 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLD1XT6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1425000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1455965.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.173166441460 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-12-04 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.03300000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TAP SA |
| b. LEI (if any) of issuer. (1) | 213800XBTDYWRYHKH878 |
| c. Title of the issue or description of the investment. | Transportes Aereos Portugueses SA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | PTTAPCOM0006 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJQWYJ9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 1061355.50000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.855203553147 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PORTUGAL
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-12-02 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2019-3, 7/1/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2019-3, 7/1/23 |
| 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 | XILS00141735 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 735313.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 26449.88000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.021312398490 |
| 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. | 2023-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MAXIM CRANE WORKS LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Maxim Crane Works Holdings Capital LLC |
| d. CUSIP (if any). | 18911YAA3 |
| At least one of the following other identifiers: |
| - ISIN | US18911YAA38 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD0PJF3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 368000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 375360.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.302452105547 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 10.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UNITI GROUP/CSL CAPITAL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC |
| d. CUSIP (if any). | 91327BAA8 |
| At least one of the following other identifiers: |
| - ISIN | US91327BAA89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDHSY1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 10000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 9459.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.007622460233 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MINERVA MERGER SUB INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MINERVA MERGER SUB INC |
| d. CUSIP (if any). | 60337JAA4 |
| At least one of the following other identifiers: |
| - ISIN | US60337JAA43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN7SNC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1305000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1300432.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.047843530870 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SECTOR RE V LTD |
| b. LEI (if any) of issuer. (1) | 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment. | Sector Re V Ltd |
| d. CUSIP (if any). | 81369ADW9 |
| At least one of the following other identifiers: |
| - ISIN | US81369ADW99 |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 229590.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.184995681246 |
| 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. | 2026-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.17750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bantry Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Bantry Re 2021, 12/31/24 |
| 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 | XILS00267979 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 492850.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.397121483959 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SPRINT CORP |
| b. LEI (if any) of issuer. (1) | 549300ZTTY7CXOLJ6539 |
| c. Title of the issue or description of the investment. | Sprint Corp |
| d. CUSIP (if any). | 85207UAH8 |
| At least one of the following other identifiers: |
| - ISIN | US85207UAH86 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BSHYYV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 340000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 370600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.298616662180 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOL FINANCE SA |
| b. LEI (if any) of issuer. (1) | 5299007RH8MA67ZC6J07 |
| c. Title of the issue or description of the investment. | Gol Finance SA |
| d. CUSIP (if any). | 36254VAA6 |
| At least one of the following other identifiers: |
| - ISIN | US36254VAA61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFF5Q84 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 431715.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.347861015415 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bantry Re 2020, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Bantry Re 2020, 12/31/23 |
| 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 | XILS00179882 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 470033.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 68718.82000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.055371248400 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Viribus Re 2019, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Viribus Re 2019, 12/31/22 |
| 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 | BNR492XD4 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 212306.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 8874.39000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.007150676526 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTESA SANPAOLO SPA |
| b. LEI (if any) of issuer. (1) | 2W8N8UU78PMDQKZENC08 |
| c. Title of the issue or description of the investment. | Intesa Sanpaolo SpA |
| d. CUSIP (if any). | 46115HAU1 |
| At least one of the following other identifiers: |
| - ISIN | US46115HAU14 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYRJ5Z7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 246937.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.198973696754 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ITALY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Versutus Re 2019-B, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Versutus Re 2019-B, 12/31/21 |
| 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 | BNR48UYP5 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 58727.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BCO DE GALICIA Y BUENOS |
| b. LEI (if any) of issuer. (1) | 579100KKDHKDFFKKB072 |
| c. Title of the issue or description of the investment. | Banco de Galicia y Buenos Aires SAU |
| d. CUSIP (if any). | 059538AR9 |
| At least one of the following other identifiers: |
| - ISIN | US059538AR97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYP33J1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 276003.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.222393671375 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ARGENTINA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-07-19 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.96200000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RESIDENTIAL RE 18 LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Residential Reinsurance 2018 Ltd |
| d. CUSIP (if any). | 76117UAD5 |
| At least one of the following other identifiers: |
| - ISIN | US76117UAD54 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHJYGL4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245875.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.198117571002 |
| 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. | 2022-12-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.82750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALLIED UNIVERSAL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Allied Universal Holdco LLC / Allied Universal Finance Corp |
| d. CUSIP (if any). | 019576AA5 |
| At least one of the following other identifiers: |
| - ISIN | US019576AA51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJYCQ73 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 245000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 251581.93000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.202716017812 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sussex Re 2022, 12/31/2027 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Sussex Re 2022, 12/31/2027 |
| 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 | XILS00393257 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 503500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.405702885611 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| b. LEI (if any) of issuer. (1) | B4TYDEB6GKMZO031MB27 |
| c. Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | FX1029492 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 3300000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 87768.15000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.070720539661 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| Identification of investment. |
| Name of issuer (if any). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| LEI (if any) of issuer. (22) | B4TYDEB6GKMZO031MB27 |
| Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | AAPI060_FX1029492_955_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2022-02-15 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 3300000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.15000000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-02-15 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 58446.58000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Gullane Re 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gullane Re 2018, 12/31/21 |
| 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 | BNR3MYKH6 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1059157.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 147116.91000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.118541717793 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KOSMOS ENERGY LTD |
| b. LEI (if any) of issuer. (1) | 213800YDFJ3OT9B5P157 |
| c. Title of the issue or description of the investment. | Kosmos Energy Ltd |
| d. CUSIP (if any). | 500688AF3 |
| At least one of the following other identifiers: |
| - ISIN | US500688AF35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP2DZT5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 405000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 394875.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.318176617588 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SCIENTIFIC GAMES INTERNA |
| b. LEI (if any) of issuer. (1) | RLTHESQ0RNFQJWPBJN60 |
| c. Title of the issue or description of the investment. | Scientific Games International Inc |
| d. CUSIP (if any). | 80874YBE9 |
| At least one of the following other identifiers: |
| - ISIN | US80874YBE95 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLPYT3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 295000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 319210.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.257209022201 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Seminole Re 2018, 1/15/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Seminole Re 2018, 1/15/22 |
| 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 | BNR3N2EG4 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 567400.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 5344.04000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.004306042599 |
| 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. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BPR Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | BPR Trust 2021-WILL |
| d. CUSIP (if any). | 05591VAJ4 |
| At least one of the following other identifiers: |
| - ISIN | US05591VAJ44 |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 499068.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.402131813876 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2038-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.85600000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VITALITY RE XI LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Vitality Re XI Ltd |
| d. CUSIP (if any). | 92851AAB0 |
| At least one of the following other identifiers: |
| - ISIN | US92851AAB08 |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245050.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.197452814536 |
| 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. | 2024-01-09 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 1.97750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | US ACUTE CARE SOLUTIONS |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | US Acute Care Solutions LLC |
| d. CUSIP (if any). | 90367UAC5 |
| At least one of the following other identifiers: |
| - ISIN | US90367UAC53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP4Z8K1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 427125.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.344162552168 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PRECISION DRILLING CORP |
| b. LEI (if any) of issuer. (1) | 549300WF2OE8T5BP4B84 |
| c. Title of the issue or description of the investment. | Precision Drilling Corp |
| d. CUSIP (if any). | 740212AM7 |
| At least one of the following other identifiers: |
| - ISIN | US740212AM74 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP0WL96 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 271000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 271460.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.218733643138 |
| 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. | 2029-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Woburn Re 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Woburn Re 2018, 12/31/21 |
| 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 | BNR3SDP81 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 507289.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 33688.26000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.027144834743 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ARCONIC CORP |
| b. LEI (if any) of issuer. (1) | 549300B4YFWH3U74B152 |
| c. Title of the issue or description of the investment. | Arconic Corp |
| d. CUSIP (if any). | 03966VAA5 |
| At least one of the following other identifiers: |
| - ISIN | US03966VAA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK8ZKB7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 445000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 461665.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.371993890986 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOL EQUITY FINANCE SA |
| b. LEI (if any) of issuer. (1) | 222100H9BH197YU7RY14 |
| c. Title of the issue or description of the investment. | GOL Equity Finance SA |
| d. CUSIP (if any). | 36256KAA8 |
| At least one of the following other identifiers: |
| - ISIN | US36256KAA88 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJYM219 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 195187.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.157275336614 |
| 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. | 2024-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | Gol Linhas Aereas Inteligentes | Gol Linhas Aereas Inteligentes SA | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 38045R206 | ||
| ISIN (if CUSIP is not available) | US38045R2067 | ||
| Ticker (if CUSIP and ISIN are not available) | GOL | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 49.38270000 | United States Dollar |
| v. Delta (if applicable). | XXXX |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 163 |
| a. Name of issuer (if any). | FRIGORIFICO CONCEPCION |
| b. LEI (if any) of issuer. (1) | 529900Q6VZVL47QJCQ91 |
| c. Title of the issue or description of the investment. | Frigorifico Concepcion SA |
| d. CUSIP (if any). | 358648AA1 |
| At least one of the following other identifiers: |
| - ISIN | US358648AA16 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWVNP0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1310000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1287088.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.037091074888 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PARAGUAY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-07-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | METINVEST BV |
| b. LEI (if any) of issuer. (1) | 635400TMCKVEU87EJ582 |
| c. Title of the issue or description of the investment. | Metinvest BV |
| d. CUSIP (if any). | 591555AF4 |
| At least one of the following other identifiers: |
| - ISIN | US591555AF42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKRQX89 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1345000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1152463.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.928615026983 |
| 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. | 2029-10-17 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Isosceles Re 2021-G1. 6/30/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Isosceles Re 2021-G1. 6/30/25 |
| 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 | XILS00323560 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 249050.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.200675876189 |
| 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. | 2025-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KB HOME |
| b. LEI (if any) of issuer. (1) | 549300LGUCWQURMWLG09 |
| c. Title of the issue or description of the investment. | KB Home |
| d. CUSIP (if any). | 48666KAX7 |
| At least one of the following other identifiers: |
| - ISIN | US48666KAX72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BG11FC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 211000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 238957.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.192543688755 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Berwick Re 2020-1, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Berwick Re 2020-1, 12/31/23 |
| 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 | XILS00179879 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 993323.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 99.33000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000080036678 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BANCO GNB SUDAMERIS SA |
| b. LEI (if any) of issuer. (1) | 549300SO7QUETMQD9D84 |
| c. Title of the issue or description of the investment. | Banco GNB Sudameris SA |
| d. CUSIP (if any). | 059593AE3 |
| At least one of the following other identifiers: |
| - ISIN | US059593AE37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMDXRK8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1135000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1120681.98000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.903006778826 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2031-04-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Versutus Re 2019-A, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Versutus Re 2019-A, 12/31/21 |
| 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 | BNR48UWU6 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 441274.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 264.76000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000213334450 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | OMAN GOV INTERNTL BOND |
| b. LEI (if any) of issuer. (1) | 549300SZ20F0QTKNQC75 |
| c. Title of the issue or description of the investment. | Oman Government International Bond |
| d. CUSIP (if any). | 68205LAD5 |
| At least one of the following other identifiers: |
| - ISIN | US68205LAD55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN4LSC7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 235000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 257799.23000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.207725703117 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
OMAN
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-10-28 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Thopas Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Thopas Re 2021, 12/31/24 |
| 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 | XILS00265550 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 259400.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.209015548217 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GLOBAL PART/GLP FINANCE |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Global Partners LP / GLP Finance Corp |
| d. CUSIP (if any). | 37954FAG9 |
| At least one of the following other identifiers: |
| - ISIN | US37954FAG90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPX6T4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 197000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 203402.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.163894699484 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BAUSCH HEALTH COS INC |
| b. LEI (if any) of issuer. (1) | B3BS7ACMDUWISF18KY76 |
| c. Title of the issue or description of the investment. | Bausch Health Cos Inc |
| d. CUSIP (if any). | 071734AD9 |
| At least one of the following other identifiers: |
| - ISIN | US071734AD90 |
| - 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 | 547000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 490248.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.395025486678 |
| 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. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SOTHEBY'S |
| b. LEI (if any) of issuer. (1) | 549300P5BAAMQQ7VL735 |
| c. Title of the issue or description of the investment. | Sotheby's |
| d. CUSIP (if any). | 835898AH0 |
| At least one of the following other identifiers: |
| - ISIN | US835898AH05 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLHMNW8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 558000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 580320.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.467601784663 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TAP ROCK RESOURCES LLC |
| b. LEI (if any) of issuer. (1) | 549300Y3SDS1HPFQ6H17 |
| c. Title of the issue or description of the investment. | Tap Rock Resources LLC |
| d. CUSIP (if any). | 87602LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US87602LAA08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCTV83 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1025000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.825909548663 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MATTERHORN RE LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Matterhorn Re Ltd |
| d. CUSIP (if any). | 577092AN9 |
| At least one of the following other identifiers: |
| - ISIN | US577092AN90 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPKCBJ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 249600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201119047167 |
| 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. | 2025-12-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.96280600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VAREX IMAGING CORPORATIO |
| b. LEI (if any) of issuer. (1) | 549300CWYWPVCT8E9W67 |
| c. Title of the issue or description of the investment. | Varex Imaging Corp |
| d. CUSIP (if any). | 92214XAC0 |
| At least one of the following other identifiers: |
| - ISIN | US92214XAC02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN951R0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 265000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 290145.85000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.233789490751 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FOUR LAKES RE LTD |
| b. LEI (if any) of issuer. (1) | 549300MG4RRU6DT7MN54 |
| c. Title of the issue or description of the investment. | Four Lakes Re Ltd |
| d. CUSIP (if any). | 35087TAA6 |
| At least one of the following other identifiers: |
| - ISIN | US35087TAA60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNDQ0Q1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 250250.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201642794685 |
| 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. | 2024-01-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.17750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SECTOR RE V LTD |
| b. LEI (if any) of issuer. (1) | 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment. | Sector Re V Ltd |
| d. CUSIP (if any). | 81369ADL3 |
| At least one of the following other identifiers: |
| - ISIN | US81369ADL35 |
| Balance. (2) |
| a. Balance | 499.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 22552.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.018172346790 |
| 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. | 2025-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Dartmouth Re 2018, 1/15/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Dartmouth Re 2018, 1/15/22 |
| 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 | BNR3NKE25 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 462683.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 97672.38000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.078701025641 |
| 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. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | STONEWAY CAPITAL CORP |
| b. LEI (if any) of issuer. (1) | 549300CV1RKODDF74O91 |
| c. Title of the issue or description of the investment. | Stoneway Capital Corp |
| d. CUSIP (if any). | 86188PAA5 |
| At least one of the following other identifiers: |
| - ISIN | US86188PAA57 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD4HGN2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 332093.62000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 96310.47000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.077603645667 |
| 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. | 2027-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.00000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VIKING CRUISES LTD |
| b. LEI (if any) of issuer. (1) | 549300IJP90T4MV2GL84 |
| c. Title of the issue or description of the investment. | Viking Cruises Ltd |
| d. CUSIP (if any). | 92676XAC1 |
| At least one of the following other identifiers: |
| - ISIN | US92676XAC11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BXC2TT6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 245000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 241325.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.194451338371 |
| 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. | 2025-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST QUANTUM MINERALS L |
| b. LEI (if any) of issuer. (1) | 549300I7UVBGWRYMYZ18 |
| c. Title of the issue or description of the investment. | First Quantum Minerals Ltd |
| d. CUSIP (if any). | 335934AT2 |
| At least one of the following other identifiers: |
| - ISIN | US335934AT24 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMZRC58 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 425000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.342450300665 |
| 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. | 2027-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PROVINCE OF SALTA |
| b. LEI (if any) of issuer. (1) | 529900F2BTF8AUQGEP42 |
| c. Title of the issue or description of the investment. | Province of Salta Argentina |
| d. CUSIP (if any). | 795751AA4 |
| At least one of the following other identifiers: |
| - ISIN | US795751AA46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B3YFXP7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 11920.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11085.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.008932393066 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ARGENTINA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-03-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2021-2, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2021-2, 12/31/24 |
| 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 | XILS00265448 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 439922.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 571.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000460817239 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CHESAPEAKE ENERGY CORP |
| b. LEI (if any) of issuer. (1) | X2MT1W32SPAZ9WSKLE78 |
| c. Title of the issue or description of the investment. | Chesapeake Energy Corp |
| d. CUSIP (if any). | 92735LAA0 |
| At least one of the following other identifiers: |
| - ISIN | US92735LAA08 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTFHM7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 950000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1015312.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.818103696221 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AUNA SA |
| b. LEI (if any) of issuer. (1) | 549300C3XBVL3X4TME11 |
| c. Title of the issue or description of the investment. | Auna SAA |
| d. CUSIP (if any). | 05151VAA5 |
| At least one of the following other identifiers: |
| - ISIN | US05151VAA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNM5274 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 445000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 447091.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.360250867293 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
PERU
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLEAR CHANNEL OUTDOOR HO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Clear Channel Outdoor Holdings Inc |
| d. CUSIP (if any). | 18453HAD8 |
| At least one of the following other identifiers: |
| - ISIN | US18453HAD89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNHS096 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 645000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 668381.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.538558494168 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GARDA WORLD SECURITY |
| b. LEI (if any) of issuer. (1) | 549300ZF1NDXLMCHNO20 |
| c. Title of the issue or description of the investment. | Garda World Security Corp |
| d. CUSIP (if any). | 36485MAL3 |
| At least one of the following other identifiers: |
| - ISIN | US36485MAL37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMX7RK0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 473000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 443295.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.357192262361 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GARFUNKELUX HOLDCO 3 SA |
| b. LEI (if any) of issuer. (1) | 2221007QVSNJV7EWBX69 |
| c. Title of the issue or description of the investment. | Garfunkelux Holdco 3 SA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2250154148 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLN9VR4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 235000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 269845.39000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.217432082208 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DRAFTKINGS INC |
| b. LEI (if any) of issuer. (1) | 5493008P45UYYL683Z97 |
| c. Title of the issue or description of the investment. | DraftKings Inc |
| d. CUSIP (if any). | 26142RAA2 |
| At least one of the following other identifiers: |
| - ISIN | US26142RAA23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNTJ2N5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 312000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 237425.63000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.191309360892 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | DraftKings Inc | DraftKings Inc | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 26142R104 | ||
| ISIN (if CUSIP is not available) | US26142R1041 | ||
| Ticker (if CUSIP and ISIN are not available) | DKNG | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 10.54300000 | United States Dollar |
| v. Delta (if applicable). | XXXX |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 192 |
| a. Name of issuer (if any). | MCGRAW-HILL EDUCATION |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | McGraw-Hill Education Inc |
| d. CUSIP (if any). | 57767XAB6 |
| At least one of the following other identifiers: |
| - ISIN | US57767XAB64 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN72CG9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1660000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1552100.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.250628498029 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Chase Auto Credit Linked Notes |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JPMorgan Chase Bank NA - CACLN |
| d. CUSIP (if any). | 46591HCJ7 |
| At least one of the following other identifiers: |
| - ISIN | US46591HCJ77 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 977116.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.787326680494 |
| 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. | 2029-02-26 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.81200000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MEX BONOS DESARR FIX RT |
| b. LEI (if any) of issuer. (1) | 254900EGTWEU67VP6075 |
| c. Title of the issue or description of the investment. | Mexican Bonos |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | MX0MGO000003 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B00L4V1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 18385500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 898151.46000000 |
| f. Exchange rate. | 20.62800000 |
| g. Percentage value compared to net assets of the Fund. | 0.723699382399 |
| 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. | 2023-12-07 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NATWEST GROUP PLC |
| b. LEI (if any) of issuer. (1) | 2138005O9XJIJN4JPN90 |
| c. Title of the issue or description of the investment. | NatWest Group PLC |
| d. CUSIP (if any). | 780099CK1 |
| At least one of the following other identifiers: |
| - ISIN | US780099CK11 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYRQWJ1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 281562.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.226873324190 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SHIBA BIDCO SPA |
| b. LEI (if any) of issuer. (1) | 815600658C215B62EA21 |
| c. Title of the issue or description of the investment. | Shiba Bidco SpA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2397065504 |
| Balance. (2) |
| a. Balance | 405000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 449878.53000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.362496559673 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ITALY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GENESIS ENERGY LP/FIN |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Genesis Energy LP / Genesis Energy Finance Corp |
| d. CUSIP (if any). | 37185LAM4 |
| At least one of the following other identifiers: |
| - ISIN | US37185LAM46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN717J4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 365000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 367628.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.296221927371 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2019-KS12 Mortgage Trust |
| d. CUSIP (if any). | 30311XAC2 |
| At least one of the following other identifiers: |
| - ISIN | US30311XAC20 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 882343.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.710961794400 |
| 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. | 2029-08-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.00125000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SCIENTIFIC GAMES INTERNA |
| b. LEI (if any) of issuer. (1) | RLTHESQ0RNFQJWPBJN60 |
| c. Title of the issue or description of the investment. | Scientific Games International Inc |
| d. CUSIP (if any). | 80874YBC3 |
| At least one of the following other identifiers: |
| - ISIN | US80874YBC30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL0KTF4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 295000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 309823.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.249645261978 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARNIVAL CORP |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | Carnival Corp |
| d. CUSIP (if any). | 143658BG6 |
| At least one of the following other identifiers: |
| - ISIN | US143658BG61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCGQB5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 135000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 151605.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.122158065487 |
| 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. | 10.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | 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 |
| d. CUSIP (if any). | 417558AA1 |
| At least one of the following other identifiers: |
| - ISIN | US417558AA18 |
| - 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 | 845000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 878985.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.708256437024 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MYSTIC RE IV LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Mystic Re IV Ltd |
| d. CUSIP (if any). | 62865LAB3 |
| At least one of the following other identifiers: |
| - ISIN | US62865LAB36 |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 251675.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.202791010399 |
| 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. | 2025-01-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.81000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Berwick Re 2018-1, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Berwick Re 2018-1, 12/31/21 |
| 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 | BNR3N2962 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1579039.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 122059.71000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.098351492679 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LIBERTY MUTUAL INSURANCE |
| b. LEI (if any) of issuer. (1) | CNC20I6IOMGF7KY49D67 |
| c. Title of the issue or description of the investment. | Liberty Mutual Insurance Co |
| d. CUSIP (if any). | 53079QAD9 |
| At least one of the following other identifiers: |
| - ISIN | US53079QAD97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 2567376 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 4600000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 7021504.54000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 5.657685507872 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2097-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.69700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WATCO COS LLC/FINANCE CO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Watco Cos LLC / Watco Finance Corp |
| d. CUSIP (if any). | 941130AB2 |
| At least one of the following other identifiers: |
| - ISIN | US941130AB21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVGMQ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 575000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 595125.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.479531141608 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AEROPUERTOS DOMINICANOS |
| b. LEI (if any) of issuer. (1) | 254900KJA5MXNPYB4W32 |
| c. Title of the issue or description of the investment. | Aeropuertos Dominicanos Siglo XXI SA |
| d. CUSIP (if any). | 007866AC0 |
| At least one of the following other identifiers: |
| - ISIN | US007866AC04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYWFZJ4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 202502.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.163169107730 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
DOMINICAN REPUBLIC
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MURPHY OIL CORP |
| b. LEI (if any) of issuer. (1) | QBKYQD0ODE7DC7PDIN91 |
| c. Title of the issue or description of the investment. | Murphy Oil Corp |
| d. CUSIP (if any). | 626717AN2 |
| At least one of the following other identifiers: |
| - ISIN | US626717AN25 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCDDR8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 605000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 632385.33000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.509554226811 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENVISION HEALTHCARE CORP |
| b. LEI (if any) of issuer. (1) | 549300OL60X0LPKY8N60 |
| c. Title of the issue or description of the investment. | Envision Healthcare Corp |
| d. CUSIP (if any). | 29373UAC5 |
| At least one of the following other identifiers: |
| - ISIN | US29373UAC53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2726208 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 315250.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 245041.30000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.197445804377 |
| 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. | 2025-10-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.85500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTERNATIONAL PETROLEUM |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | International Petroleum Corp/Sweden |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | NO0012423476 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNGFYJ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 383000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 379170.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.305522071772 |
| 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. | 2027-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EMPIRE COMMUNITIES CORP |
| b. LEI (if any) of issuer. (1) | 549300JM1L6KK2QFP273 |
| c. Title of the issue or description of the investment. | Empire Communities Corp |
| d. CUSIP (if any). | 29163VAC7 |
| At least one of the following other identifiers: |
| - ISIN | US29163VAC72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGS8D0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 390000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 396754.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.319691295412 |
| 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. | 2025-12-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Berwick Re 2022, 12/31/27 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Berwick Re 2022, 12/31/27 |
| 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 | XILS00393270 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 753433.43000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.607090599140 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PetroQuest Energy Inc |
| b. LEI (if any) of issuer. (1) | 5493006TFRWYUQCKTQ17 |
| c. Title of the issue or description of the investment. | PetroQuest Energy Inc |
| d. CUSIP (if any). | 716748405 |
| At least one of the following other identifiers: |
| - ISIN | US7167484051 |
| - Ticker (if ISIN is not available). | QWST |
| Balance. (2) |
| a. Balance | 218823.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 94093.89000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.075817602167 |
| 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: 213 |
| a. Name of issuer (if any). | WESCO DISTRIBUTION INC |
| b. LEI (if any) of issuer. (1) | 549300I2CEZJG9N4AH67 |
| c. Title of the issue or description of the investment. | WESCO Distribution Inc |
| d. CUSIP (if any). | 95081QAN4 |
| At least one of the following other identifiers: |
| - ISIN | US95081QAN43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYMZS8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 366520.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.295329139293 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NATEL ENGINEERING CO INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Natel Engineering Co Inc |
| d. CUSIP (if any). | 63229BAD0 |
| At least one of the following other identifiers: |
| - ISIN | US63229BAD01 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2970889 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 266723.54980000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 262167.11000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.211245189750 |
| 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. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NABORS INDUSTRIES LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Nabors Industries Ltd |
| d. CUSIP (if any). | 629571AB6 |
| At least one of the following other identifiers: |
| - ISIN | US629571AB69 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3BPX4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 515000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 482812.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.389033613623 |
| 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. | 2028-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HYATT HOTELS CORP |
| b. LEI (if any) of issuer. (1) | T27JQIMTYSH41TCD5186 |
| c. Title of the issue or description of the investment. | Hyatt Hotels Corp |
| d. CUSIP (if any). | 448579AJ1 |
| At least one of the following other identifiers: |
| - ISIN | US448579AJ19 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMW55T0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 180000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 210692.59000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.169768801866 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2030-04-23 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Viribus Re 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Viribus Re 2018, 12/31/21 |
| 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 | BNR3MUHU9 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AVATION CAPITAL SA |
| b. LEI (if any) of issuer. (1) | 54930056OEYSV06OMD90 |
| c. Title of the issue or description of the investment. | Avation Capital SA |
| d. CUSIP (if any). | 05351CAA5 |
| At least one of the following other identifiers: |
| - ISIN | US05351CAA53 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZ6773 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375925.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 315777.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.254442184925 |
| 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. | 2026-10-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WIRECO WORLDGROUP INC |
| b. LEI (if any) of issuer. (1) | 5493008NQ1Q5T2GZOJ37 |
| c. Title of the issue or description of the investment. | WireCo WorldGroup Inc |
| 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 | BL3757442 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 225281.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.181523839521 |
| 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. | 2028-11-12 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TERVITA CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Tervita Corp |
| d. CUSIP (if any). | 88159EAA1 |
| At least one of the following other identifiers: |
| - ISIN | US88159EAA10 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFHW25 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 367000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 425261.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.342660806879 |
| 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. | 2025-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Berwick Re 2019-1, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Berwick Re 2019-1, 12/31/22 |
| 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 | BNR4941A1 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1128124.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 134810.82000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.108625896098 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Capital Funding Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Capital Funding Mortgage Trust 2020-9 |
| d. CUSIP (if any). | 14020FAB9 |
| At least one of the following other identifiers: |
| - ISIN | US14020FAB94 |
| Balance. (2) |
| a. Balance | 588625.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 588625.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.474293666421 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2022-11-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 15.90000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARRIAGE PURCHASER INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Carriage Purchaser Inc |
| d. CUSIP (if any). | 14445LAA5 |
| At least one of the following other identifiers: |
| - ISIN | US14445LAA52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGCCC9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1245000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1215474.83000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.979387578787 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARNIVAL CORP |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | Carnival Corp |
| d. CUSIP (if any). | 143658BL5 |
| At least one of the following other identifiers: |
| - ISIN | US143658BL56 |
| - 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 | 100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 102000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.082188072159 |
| 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. | 7.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Wells Fargo Commercial Mortgag |
| b. LEI (if any) of issuer. (1) | 549300S7ENI2U7O0XH56 |
| c. Title of the issue or description of the investment. | Wells Fargo Commercial Mortgage Trust 2015-C28 |
| d. CUSIP (if any). | 94989JAL0 |
| At least one of the following other identifiers: |
| - ISIN | US94989JAL08 |
| Balance. (2) |
| a. Balance | 1100000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 808469.64000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.651436873639 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2048-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MYSTIC RE IV LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Mystic Re IV Ltd |
| d. CUSIP (if any). | 62865LAC1 |
| At least one of the following other identifiers: |
| - ISIN | US62865LAC19 |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 496450.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.400022239447 |
| 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. | 2025-01-08 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.86750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENERGY TRANSFER LP |
| b. LEI (if any) of issuer. (1) | MTLVN9N7JE8MIBIJ1H73 |
| c. Title of the issue or description of the investment. | Energy Transfer LP |
| d. CUSIP (if any). | 29273RBA6 |
| At least one of the following other identifiers: |
| - ISIN | US29273RBA68 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BHBFCH3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 450000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 367875.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.296420951428 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2066-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.14913000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BRASKEM IDESA SAPI |
| b. LEI (if any) of issuer. (1) | YH0V7ZHY352ITDGEYB83 |
| c. Title of the issue or description of the investment. | Braskem Idesa SAPI |
| d. CUSIP (if any). | 10554NAB4 |
| At least one of the following other identifiers: |
| - ISIN | US10554NAB47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKF1J1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 425000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 421812.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.339881923410 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2032-02-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.99000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NABORS INDUSTRIES INC |
| b. LEI (if any) of issuer. (1) | 549300VFQWRKICUFNU92 |
| c. Title of the issue or description of the investment. | Nabors Industries Inc |
| d. CUSIP (if any). | 62957HAJ4 |
| At least one of the following other identifiers: |
| - ISIN | US62957HAJ41 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLGTT88 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 140000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 143134.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.115332910130 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | US RENAL CARE INC |
| b. LEI (if any) of issuer. (1) | 54930058SS5MF69JGN89 |
| c. Title of the issue or description of the investment. | US Renal Care Inc |
| d. CUSIP (if any). | 07335BAA4 |
| At least one of the following other identifiers: |
| - ISIN | US07335BAA44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKF9DX5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1165000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1188300.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.957491040660 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 10.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KILIMANJARO RE LTD |
| b. LEI (if any) of issuer. (1) | 549300TOWVCRIW71JM30 |
| c. Title of the issue or description of the investment. | Kilimanjaro Re Ltd |
| d. CUSIP (if any). | 494074AJ6 |
| At least one of the following other identifiers: |
| - ISIN | US494074AJ62 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXYK69 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 251575.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.202710433858 |
| 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. | 2022-05-06 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.94913000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PHH MORTGAGE CORP |
| b. LEI (if any) of issuer. (1) | PAOOWF3GUFM46FBSP561 |
| c. Title of the issue or description of the investment. | PHH Mortgage Corp |
| d. CUSIP (if any). | 69356NAA2 |
| At least one of the following other identifiers: |
| - ISIN | US69356NAA28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXDS05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 355000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 360325.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.290337422558 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BOYD GAMING CORP |
| b. LEI (if any) of issuer. (1) | 254900787YGRYS2A1Z35 |
| c. Title of the issue or description of the investment. | Boyd Gaming Corp |
| d. CUSIP (if any). | 103304BS9 |
| At least one of the following other identifiers: |
| - ISIN | US103304BS93 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFK4H3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 204000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 216423.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.174386651508 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2021-1, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2021-1, 12/31/24 |
| 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 | XILS00266525 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 790000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 22792.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.018365166453 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JB POINDEXTER & CO INC |
| b. LEI (if any) of issuer. (1) | 549300W6P81HOZZGPQ16 |
| c. Title of the issue or description of the investment. | JB Poindexter & Co Inc |
| d. CUSIP (if any). | 730481AJ7 |
| At least one of the following other identifiers: |
| - ISIN | US730481AJ74 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFX2LS2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1095000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1139019.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.917782115325 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2022-2, 12/31/2027 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2022-2, 12/31/2027 |
| 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 | XILS00393837 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 416933.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 416933.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.335950191075 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KENBOURNE INVEST SA |
| b. LEI (if any) of issuer. (1) | 222100QGH6Y9KFYZ4B27 |
| c. Title of the issue or description of the investment. | Kenbourne Invest SA |
| d. CUSIP (if any). | 48855KAA8 |
| At least one of the following other identifiers: |
| - ISIN | US48855KAA88 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM6X8K2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1345000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1390871.23000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.120715931529 |
| 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. | 2024-11-26 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CD&R SMOKEY BUYER INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | CD&R Smokey Buyer Inc |
| d. CUSIP (if any). | 12510CAA9 |
| At least one of the following other identifiers: |
| - ISIN | US12510CAA99 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLB2FF1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 120000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 124940.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.100672653047 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Wells Fargo Commercial Mortgag |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Wells Fargo Commercial Mortgage Trust 2015-C31 |
| d. CUSIP (if any). | 94989WAD9 |
| At least one of the following other identifiers: |
| - ISIN | US94989WAD92 |
| Balance. (2) |
| a. Balance | 1660500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1191775.72000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.960291655622 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2048-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.60076800 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SHELF DRILL HOLD LTD |
| b. LEI (if any) of issuer. (1) | 54930078ZJ3XP4MRYB68 |
| c. Title of the issue or description of the investment. | Shelf Drilling Holdings Ltd |
| d. CUSIP (if any). | 822538AG9 |
| At least one of the following other identifiers: |
| - ISIN | US822538AG91 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNC23L6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 480000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 490800.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.395469664862 |
| 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. | 2024-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MILEAGE PLUS HLDINGS LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd |
| d. CUSIP (if any). | 599191AA1 |
| At least one of the following other identifiers: |
| - ISIN | US599191AA16 |
| - 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 | 645000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 685312.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.552201109822 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENLINK MIDSTREAM PARTNER |
| b. LEI (if any) of issuer. (1) | 88CPW63VL7KHJWS0NY83 |
| c. Title of the issue or description of the investment. | EnLink Midstream Partners LP |
| d. CUSIP (if any). | 29336UAC1 |
| At least one of the following other identifiers: |
| - ISIN | US29336UAC18 |
| - 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 | 344000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 311320.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.250850888477 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 5.60000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | NSG HOLDINGS LLC/NSG HLD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | NSG Holdings LLC / NSG Holdings Inc |
| d. CUSIP (if any). | 62940QAA3 |
| At least one of the following other identifiers: |
| - ISIN | US62940QAA31 |
| - 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 | 134296.24000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 142354.01000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.114703937706 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOL FINANCE SA |
| b. LEI (if any) of issuer. (1) | 5299007RH8MA67ZC6J07 |
| c. Title of the issue or description of the investment. | Gol Finance SA |
| d. CUSIP (if any). | 36254VAC2 |
| At least one of the following other identifiers: |
| - ISIN | US36254VAC28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLBLPB4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 2115000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1948464.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.570005625507 |
| 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. | 2026-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Old Head Re 2022, 12/31/2027 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Old Head Re 2022, 12/31/2027 |
| 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 | XILS00393033 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 193025.81000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.155533521578 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Thopas Re 2019, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Thopas Re 2019, 12/31/22 |
| 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 | BNR48W680 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 313499.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REGIONALCARE/LIFEPOINT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc |
| d. CUSIP (if any). | 53219LAR0 |
| At least one of the following other identifiers: |
| - ISIN | US53219LAR06 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGYDGW0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 357000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 375574.71000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.302625111439 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDEN RE II LTD |
| b. LEI (if any) of issuer. (1) | 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment. | Eden Re II Ltd |
| d. CUSIP (if any). | 27954QAH4 |
| At least one of the following other identifiers: |
| - ISIN | US27954QAH48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPF8P0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 70000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 37240.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.030006703992 |
| 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. | 2024-03-22 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | US RENAL CARE INC |
| b. LEI (if any) of issuer. (1) | 54930058SS5MF69JGN89 |
| c. Title of the issue or description of the investment. | US Renal Care Inc |
| d. CUSIP (if any). | 90290PAN4 |
| At least one of the following other identifiers: |
| - ISIN | US90290PAN42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3003243 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 488750.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 483319.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.389442136687 |
| 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. | 5.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BROWN BROTHERS HARRIMAN & CO. |
| b. LEI (if any) of issuer. (1) | 5493006KMX1VFTPYPW14 |
| c. Title of the issue or description of the investment. | DESARROLLADORA HOMEX SAB DE CV |
| 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 | BNR2JLL06 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 18332.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | 20.62800000 |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-equity
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BROWN BROTHERS HARRIMAN & CO. | 5493006KMX1VFTPYPW14 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 3. The reference instrument is neither a derivative or an index (28) |
| Name of issuer. | Desarrolladora Homex SAB de CV |
| Title of issue. | Desarrolladora Homex SAB de CV |
| At least one of the following other identifiers: |
| - ISIN (if CUSIP is not available). | MX01HO000007 |
| - Ticker (if CUSIP and ISIN are not available). | HOMEX* |
| - Other identifier (if CUSIP, ISIN, and ticker are not available). | B01RQ23 |
| If other identifier provided, indicate the type of identifier used. | SEDOL |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Number of shares. | 1.00000000 |
| v. Exercise price or rate. | 0.01000000 |
| vi. Exercise Price Currency Code |
Mexico Peso
|
| vii. Expiration date. | 2022-10-23 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | -0.01000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Carnoustie Re 2020, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Carnoustie Re 2020, 12/31/23 |
| 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 | XILS00179880 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 33900.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.027315447511 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | STRATHCONA RESOURCES |
| b. LEI (if any) of issuer. (1) | 549300ZPS06QWKX6NG96 |
| c. Title of the issue or description of the investment. | Strathcona Resources Ltd |
| d. CUSIP (if any). | 86304TAA6 |
| At least one of the following other identifiers: |
| - ISIN | US86304TAA60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP37WV7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1610000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1601112.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.290121317080 |
| 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. | 2026-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MARRIOTT INTERNATIONAL |
| b. LEI (if any) of issuer. (1) | 225YDZ14ZO8E1TXUSU86 |
| c. Title of the issue or description of the investment. | Marriott International Inc/MD |
| d. CUSIP (if any). | 571903BD4 |
| At least one of the following other identifiers: |
| - ISIN | US571903BD44 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMCJ8S2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 16000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 17725.24000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.014282385334 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ARAGVI FINANCE INTL |
| b. LEI (if any) of issuer. (1) | 635400VKAYT1VT6VBF50 |
| c. Title of the issue or description of the investment. | Aragvi Finance International DAC |
| d. CUSIP (if any). | 03851RAB0 |
| At least one of the following other identifiers: |
| - ISIN | US03851RAB06 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXT881 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 555000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 556811.52000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.448659464559 |
| 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. | 2026-04-29 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.45000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VISTAJET MALTA/XO MGMT |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | VistaJet Malta Finance PLC / XO Management Holding Inc |
| d. CUSIP (if any). | 92840JAB5 |
| At least one of the following other identifiers: |
| - ISIN | US92840JAB52 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP4Z8H8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 990000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 983961.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.792841741865 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) | N/A |
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DANAOS CORP |
| b. LEI (if any) of issuer. (1) | 734IM3DNDNT36T7YTD24 |
| c. Title of the issue or description of the investment. | Danaos Corp |
| d. CUSIP (if any). | 23585WAA2 |
| At least one of the following other identifiers: |
| - ISIN | US23585WAA27 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNNSFJ5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 655000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 713950.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.575276216847 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
MARSHALL 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. | 2028-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2019-KJ24 Mortgage Trust |
| d. CUSIP (if any). | 30312FAG1 |
| At least one of the following other identifiers: |
| - ISIN | US30312FAG19 |
| Balance. (2) |
| a. Balance | 678640.48000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 579224.94000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.466719423190 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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) | Variable |
| ii. Annualized rate. | 7.60000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DIG INTL FIN/DIG INTL HL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Digicel International Finance Ltd/Digicel international Holdings Ltd |
| d. CUSIP (if any). | 25381XAB9 |
| At least one of the following other identifiers: |
| - ISIN | US25381XAB91 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMC2ZM4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 55009.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 56246.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.045321645473 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) | N/A |
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 13.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Multifamily Structured Credit |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac Multifamily Structured Credit Risk |
| d. CUSIP (if any). | 35563FAC5 |
| At least one of the following other identifiers: |
| - ISIN | US35563FAC59 |
| Balance. (2) |
| a. Balance | 70000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 78068.99000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.062905291995 |
| 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. | 2051-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.79967000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LIMESTONE RE 2018, 3/1/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | LIMESTONE RE 2018, 3/1/22 |
| 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 | 33TQ0S |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 849.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2023-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HEXION INC |
| b. LEI (if any) of issuer. (1) | 54930030FZF8HYAEHM46 |
| c. Title of the issue or description of the investment. | Hexion Inc |
| d. CUSIP (if any). | 42829LAF1 |
| At least one of the following other identifiers: |
| - ISIN | US42829LAF13 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJHNY80 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 404000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 427735.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.344654069070 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2021-KG05 Mortgage Trust |
| d. CUSIP (if any). | 30318WAL7 |
| At least one of the following other identifiers: |
| - ISIN | US30318WAL72 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 6214.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.005007670890 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.10000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Gleneagles Re 2020, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gleneagles Re 2020, 12/31/23 |
| 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 | XILS00191683 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 243580.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 24344.12000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.019615649913 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROYAL CARIBBEAN CRUISES |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | Royal Caribbean Cruises Ltd |
| d. CUSIP (if any). | 780153AZ5 |
| At least one of the following other identifiers: |
| - ISIN | US780153AZ50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFMWD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 178000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 196998.21000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.158734344105 |
| 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. | 2025-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 11.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BNP PARIBAS |
| b. LEI (if any) of issuer. (1) | R0MUWSFPU8MPRO8K5P83 |
| c. Title of the issue or description of the investment. | BNP Paribas SA |
| d. CUSIP (if any). | 05565AHN6 |
| At least one of the following other identifiers: |
| - ISIN | US05565AHN63 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJ0M6C2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1453000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1532479.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.234818655431 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DEALER TIRE LLC/DT ISSR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Dealer Tire LLC / DT Issuer LLC |
| d. CUSIP (if any). | 24229JAA1 |
| At least one of the following other identifiers: |
| - ISIN | US24229JAA16 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK94CG2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 840000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 858900.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.692071913509 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2020-2, 3/10/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2020-2, 3/10/23 |
| 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 | 3351TX |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 60078.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 50213.19000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.040460051794 |
| 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. | 2023-03-10 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ailsa Re 2021, 6/30/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ailsa Re 2021, 6/30/25 |
| 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 | XILS00323871 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 359687.31000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.289823594011 |
| 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. | 2025-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UNITI GRP/UNITI HLD/CSL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC |
| d. CUSIP (if any). | 91327AAA0 |
| At least one of the following other identifiers: |
| - ISIN | US91327AAA07 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6Z5M2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 386000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 401297.18000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.323351388110 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Desarrolladora Homex SAB de CV |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Desarrolladora Homex SAB de CV |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | MX01HO000007 |
| - Ticker (if ISIN is not available). | HOMEX* |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B01RQ23 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 89094.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
Mexico Peso
|
| e. Value. (4) | 207.32000000 |
| f. Exchange rate. | 20.62800000 |
| g. Percentage value compared to net assets of the Fund. | 0.000167051285 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-common
|
| b. Issuer type. (7) |
Corporate
|
| 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 |
| 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: 271 |
| a. Name of issuer (if any). | Gleneagles Re 2018, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gleneagles Re 2018, 12/31/21 |
| 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 | BNR3MYEC4 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 29575.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.023830512099 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DIEBOLD NIXDORF INC |
| b. LEI (if any) of issuer. (1) | 549300XZK6EWDBAZSY16 |
| c. Title of the issue or description of the investment. | Diebold Nixdorf Inc |
| d. CUSIP (if any). | 253651AC7 |
| At least one of the following other identifiers: |
| - ISIN | US253651AC78 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ006M8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 865000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 858512.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.691759679411 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Bantry RE 2019, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Bantry RE 2019, 12/31/22 |
| 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 | BNR4B8Q46 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 492000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 16710.12000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.013464436748 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BATH & BODY WORKS INC |
| b. LEI (if any) of issuer. (1) | GR3KVMWVCR54YWQNXU90 |
| c. Title of the issue or description of the investment. | Bath & Body Works Inc |
| d. CUSIP (if any). | 501797AW4 |
| At least one of the following other identifiers: |
| - ISIN | US501797AW48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMH1559 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 269425.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.217093346486 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Fannie Mae - CAS |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Connecticut Avenue Securities Trust 2021-R01 |
| d. CUSIP (if any). | 20754RAJ5 |
| At least one of the following other identifiers: |
| - ISIN | US20754RAJ59 |
| Balance. (2) |
| a. Balance | 330000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 322982.06000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.260247773074 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2041-10-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.04967000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2022-1 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2022-1 |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | XILS00395618 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 746905.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 746905.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.601830216043 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Merion Re 2022-1 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Merion Re 2022-1 |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | XILS00393827 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 217780.78000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.175480220212 |
| 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. | 2027-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AEROVIAS DE MEXICO S.A. |
| b. LEI (if any) of issuer. (1) | 549300TK6ZHQ3FJ26B03 |
| c. Title of the issue or description of the investment. | Aerovias de Mexico SA de CV |
| d. CUSIP (if any). | 008065AD6 |
| At least one of the following other identifiers: |
| - ISIN | US008065AD67 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJN6TY4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1344000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1273453.44000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.026104737438 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2025-02-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WESTERN GLOBAL AIRLINES |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Western Global Airlines LLC |
| d. CUSIP (if any). | 958278AA1 |
| At least one of the following other identifiers: |
| - ISIN | US958278AA10 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMBW365 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 965000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1065118.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.858235849839 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 10.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CAELUS RE V LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Caelus Re V Ltd |
| d. CUSIP (if any). | 12765KAD7 |
| At least one of the following other identifiers: |
| - ISIN | US12765KAD72 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD46866 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 375000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 33.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000026590258 |
| 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. | 2024-06-05 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.27750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Sussex Re 2020-1, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Sussex Re 2020-1, 12/31/22 |
| 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 | XILS00176384 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 515671.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 12685.51000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.010221545208 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JAZZ ACQUISITION INC |
| b. LEI (if any) of issuer. (1) | 549300L8N9LERNS63192 |
| c. Title of the issue or description of the investment. | Jazz Acquisition Inc |
| d. CUSIP (if any). | 47214DAK0 |
| At least one of the following other identifiers: |
| - ISIN | US47214DAK00 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3001627 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 321319.27160000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 317202.53000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.255590827694 |
| 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. | 2026-06-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.36000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENERGEAN PLC |
| b. LEI (if any) of issuer. (1) | 549300RVMKU0CYUZBB05 |
| c. Title of the issue or description of the investment. | Energean PLC |
| d. CUSIP (if any). | 29280EAA7 |
| At least one of the following other identifiers: |
| - ISIN | US29280EAA73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP4DQT0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1510000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1459037.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.175641954251 |
| 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. | 2027-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Global Mortgage Securitization |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Global Mortgage Securitization Ltd |
| d. CUSIP (if any). | 378961AF3 |
| At least one of the following other identifiers: |
| - ISIN | US378961AF34 |
| Balance. (2) |
| a. Balance | 21967.52000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 14626.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.011785568106 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| 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) | Fixed |
| ii. Annualized rate. | 5.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CSC HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC Holdings LLC |
| d. CUSIP (if any). | 64072UAE2 |
| At least one of the following other identifiers: |
| - ISIN | US64072UAE29 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2385591 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 969.51540000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 956.69000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000770867713 |
| 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. | 2025-07-17 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.35629000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TULLOW OIL PLC |
| b. LEI (if any) of issuer. (1) | 2138003EYHWO75RKS857 |
| c. Title of the issue or description of the investment. | Tullow Oil PLC |
| d. CUSIP (if any). | 899415AG8 |
| At least one of the following other identifiers: |
| - ISIN | US899415AG89 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPGFV8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 985000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 994850.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.801615721451 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 10.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DEUCE FINCO |
| b. LEI (if any) of issuer. (1) | 9845007DA2BC863E8437 |
| c. Title of the issue or description of the investment. | Deuce Finco Plc |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2351481028 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL6L3C6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 440000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United Kingdom Pound
|
| e. Value. (4) | 583353.06000000 |
| f. Exchange rate. | 0.74354970 |
| g. Percentage value compared to net assets of the Fund. | 0.470045719508 |
| 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. | 2027-06-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Gleneagles Re 2019, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gleneagles Re 2019, 12/31/22 |
| 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 | BNR490275 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 221708.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 4954.57000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.003992221143 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| b. LEI (if any) of issuer. (1) | B4TYDEB6GKMZO031MB27 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FX1029481 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -3300000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| Identification of investment. |
| Name of issuer (if any). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| LEI (if any) of issuer. (22) | B4TYDEB6GKMZO031MB27 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | AAPI060_FX1029481_955_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-02-15 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | -3300000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.20200000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-02-15 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 29321.57000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CEMIG GERACAO E TRANSM |
| b. LEI (if any) of issuer. (1) | 529900ZT0AVI5W1VFB58 |
| c. Title of the issue or description of the investment. | Cemig Geracao e Transmissao SA |
| d. CUSIP (if any). | 12517MAA0 |
| At least one of the following other identifiers: |
| - ISIN | US12517MAA09 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD36SR8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 443000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.356954078105 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
BRAZIL
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-12-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2020-1, 2/1/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2020-1, 2/1/24 |
| 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 | XILS00178572 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 810646.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 17203.49000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.013861977230 |
| 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. | 2024-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GRUPO AEROMEXICO SAB |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Grupo Aeromexico SAB de CV |
| 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 | BL3434364 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 157991.84780000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 156285.54000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.125929482735 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2022-08-19 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☒ Yes ☐ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLAR LNG LTD |
| b. LEI (if any) of issuer. (1) | 213800C2VSFZG3EZLO34 |
| c. Title of the issue or description of the investment. | Golar LNG Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | NO0011123432 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN4N4C5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 645000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 622425.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.501528537391 |
| 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. | 2025-10-20 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MOHEGAN GAMING & ENT |
| b. LEI (if any) of issuer. (1) | 549300UB083Z2NRDHC48 |
| c. Title of the issue or description of the investment. | Mohegan Gaming & Entertainment |
| d. CUSIP (if any). | 608328BH2 |
| At least one of the following other identifiers: |
| - ISIN | US608328BH21 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMYW168 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 900000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 916920.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.738822422790 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Harambee Re 2019, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Harambee Re 2019, 12/31/22 |
| 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 | BNR48WAE2 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1100.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000886341954 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HYPATIA LTD |
| b. LEI (if any) of issuer. (1) | 98450041F85DB4C2C372 |
| c. Title of the issue or description of the investment. | Hypatia Ltd |
| d. CUSIP (if any). | 44914CAB2 |
| At least one of the following other identifiers: |
| - ISIN | US44914CAB28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL5BWG4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 791625.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.637864045327 |
| 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. | 2023-06-07 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 10.55250600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ASG FINANCE DESIGNATED |
| b. LEI (if any) of issuer. (1) | 5493005UOB0OMEJ4WK10 |
| c. Title of the issue or description of the investment. | ASG Finance Designated Activity Co |
| d. CUSIP (if any). | 00217AAA4 |
| At least one of the following other identifiers: |
| - ISIN | US00217AAA43 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKKFRZ8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 990000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.797707759196 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
IRELAND
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-12-03 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF GABON |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Gabon Government International Bond |
| d. CUSIP (if any). | 362420AE1 |
| At least one of the following other identifiers: |
| - ISIN | US362420AE18 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BPG9L46 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 475000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 463908.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.373801625691 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
GABON
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-11-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INSTANT BRANDS HOLDING |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Instant Brands Holdings Inc |
| d. CUSIP (if any). | 45783DAB5 |
| At least one of the following other identifiers: |
| - ISIN | US45783DAB55 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3582493 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 370562.50000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 348328.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.280671259218 |
| 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. | 2028-04-12 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CAPE LOOKOUT RE LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Cape Lookout Re Ltd |
| d. CUSIP (if any). | 13947LAC6 |
| At least one of the following other identifiers: |
| - ISIN | US13947LAC63 |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 250600.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201924812580 |
| 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. | 2024-03-22 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 3.42750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KOPPERS INC |
| b. LEI (if any) of issuer. (1) | LTO4ZL5EBDR1NE6FGJ36 |
| c. Title of the issue or description of the investment. | Koppers Inc |
| d. CUSIP (if any). | 500605AH3 |
| At least one of the following other identifiers: |
| - ISIN | US500605AH33 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYXH328 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 199000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 199497.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.160748185545 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALLIED UNIVERSAL |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Allied Universal Holdco LLC / Allied Universal Finance Corp |
| d. CUSIP (if any). | 019576AB3 |
| At least one of the following other identifiers: |
| - ISIN | US019576AB35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJYCQ84 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 585000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 617175.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.497298268971 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 9.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AT HOME GROUP INC |
| b. LEI (if any) of issuer. (1) | 549300LGPR0P05O30I24 |
| c. Title of the issue or description of the investment. | At Home Group Inc |
| d. CUSIP (if any). | 04650YAB6 |
| At least one of the following other identifiers: |
| - ISIN | US04650YAB65 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLR8VV1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 245000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 229687.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.185074243374 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2029-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRIUMPH GROUP INC |
| b. LEI (if any) of issuer. (1) | 5493007L6S47Q14SL582 |
| c. Title of the issue or description of the investment. | Triumph Group Inc |
| d. CUSIP (if any). | 896818AS0 |
| At least one of the following other identifiers: |
| - ISIN | US896818AS01 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF3XB9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 101000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 107817.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.086875612451 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BUILDERS FIRSTSOURCE INC |
| b. LEI (if any) of issuer. (1) | 549300W0SKP6L3H7DP63 |
| c. Title of the issue or description of the investment. | Builders FirstSource Inc |
| d. CUSIP (if any). | 12008RAM9 |
| At least one of the following other identifiers: |
| - ISIN | US12008RAM97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVRGC6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 239000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 248858.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.200521773554 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-06-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Brotherhood Mutual Re, 12/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Brotherhood Mutual Re, 12/31/22 |
| 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 | BNR3N54R4 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SECTOR RE V LTD |
| b. LEI (if any) of issuer. (1) | 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment. | Sector Re V Ltd |
| d. CUSIP (if any). | 81369ADB5 |
| At least one of the following other identifiers: |
| - ISIN | US81369ADB52 |
| Balance. (2) |
| a. Balance | 25000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 73557.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.059270089391 |
| 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. | 2024-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF GHANA |
| b. LEI (if any) of issuer. (1) | 213800PP4399SNNXZ126 |
| c. Title of the issue or description of the investment. | Ghana Government International Bond |
| d. CUSIP (if any). | 37443GAH4 |
| At least one of the following other identifiers: |
| - ISIN | US37443GAH48 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKT61Q1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 320000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 239475.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.192960833510 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
GHANA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2035-02-11 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PEGASUS HAVA TASIMACILIG |
| b. LEI (if any) of issuer. (1) | 789000B1MW5PQ58A8T03 |
| c. Title of the issue or description of the investment. | Pegasus Hava Tasimaciligi AS |
| d. CUSIP (if any). | 705567AA3 |
| At least one of the following other identifiers: |
| - ISIN | US705567AA31 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL986K3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1915000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1931047.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.555971448150 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
TURKEY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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) | Fixed |
| ii. Annualized rate. | 9.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SPRINT CORP |
| b. LEI (if any) of issuer. (1) | 549300ZTTY7CXOLJ6539 |
| c. Title of the issue or description of the investment. | Sprint Corp |
| d. CUSIP (if any). | 85207UAK1 |
| At least one of the following other identifiers: |
| - ISIN | US85207UAK16 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZYL64 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 850000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 973250.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.784211188523 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENEL SPA |
| b. LEI (if any) of issuer. (1) | WOCMU6HCI0OJWNPRZS33 |
| c. Title of the issue or description of the investment. | Enel SpA |
| d. CUSIP (if any). | 29265WAA6 |
| At least one of the following other identifiers: |
| - ISIN | US29265WAA62 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF0H4Q9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 460000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 506331.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.407984168649 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ITALY
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2073-09-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Velocity Commercial Capital Lo |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Velocity Commercial Capital Loan Trust 2020-1 |
| d. CUSIP (if any). | 92259LAU2 |
| At least one of the following other identifiers: |
| - ISIN | US92259LAU26 |
| Balance. (2) |
| a. Balance | 380971.29000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 374775.78000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.301981361277 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2050-02-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.69000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Oakmont Re 2020, 4/30/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Oakmont Re 2020, 4/30/24 |
| 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 | XILS00243849 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 282638.79000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.227740561447 |
| 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. | 2024-04-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FITNESS & SPORTS CLUBS LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Fitness International LLC |
| d. CUSIP (if any). | 33818XAH3 |
| At least one of the following other identifiers: |
| - ISIN | US33818XAH35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2680025 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 191702.96000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 179422.08000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.144572106451 |
| 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. | 2025-04-18 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Cyprus Re 2017, 1/31/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Cyprus Re 2017, 1/31/22 |
| 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 | BNR310MG3 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 650000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 65.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000052374751 |
| 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. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Lorenz Re 2019, 6/30/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lorenz Re 2019, 6/30/22 |
| 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 | 332MLP |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 498977.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 16366.45000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.013187519348 |
| 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. | 2022-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FINANCIERA INDEPENDENCIA |
| b. LEI (if any) of issuer. (1) | 4469000001BNUHDNSG66 |
| c. Title of the issue or description of the investment. | Financiera Independencia SAB de CV SOFOM ENR |
| d. CUSIP (if any). | 31770BAC2 |
| At least one of the following other identifiers: |
| - ISIN | US31770BAC28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDT7YQ6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 530000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 406117.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.327235676977 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2024-07-19 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Oyster Bay Re 2018, 1/15/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Oyster Bay Re 2018, 1/15/22 |
| 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 | BNR3NKES8 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 333342.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 302541.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.243777235067 |
| 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. | 2023-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BROWN BROTHERS HARRIMAN & CO. |
| b. LEI (if any) of issuer. (1) | 5493006KMX1VFTPYPW14 |
| c. Title of the issue or description of the investment. | USD/EUR FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2201120371126 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -18185.51000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.01465325498 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BROWN BROTHERS HARRIMAN & CO. | 5493006KMX1VFTPYPW14 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -1120551.60000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 980000.00000000 |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-03-25 |
| iv. Unrealized appreciation or depreciation. (24) | -18185.51000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | US ACUTE CARE SOLUTIONS |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | US Acute Care Solutions LLC |
| d. CUSIP (if any). | 90367UAA9 |
| At least one of the following other identifiers: |
| - ISIN | US90367UAA97 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKP96F8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 340000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 341700.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.275330041734 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LEGACY LIFEPOINT HEALTH |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Legacy LifePoint Health LLC |
| d. CUSIP (if any). | 53219LAT6 |
| At least one of the following other identifiers: |
| - ISIN | US53219LAT61 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKPSFY7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 280000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 289800.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.233510816783 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | YPF SOCIEDAD ANONIMA |
| b. LEI (if any) of issuer. (1) | 5493003N7447U18U5U53 |
| c. Title of the issue or description of the investment. | YPF SA |
| d. CUSIP (if any). | 984245AP5 |
| At least one of the following other identifiers: |
| - ISIN | US984245AP50 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDVJZC3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 7750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Argentina Peso
|
| e. Value. (4) | 32882.59000000 |
| f. Exchange rate. | 223.90270000 |
| g. Percentage value compared to net assets of the Fund. | 0.026495653722 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ARGENTINA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 16.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SECTOR RE V LTD |
| b. LEI (if any) of issuer. (1) | 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment. | Sector Re V Ltd |
| d. CUSIP (if any). | 81369ADV1 |
| At least one of the following other identifiers: |
| - ISIN | US81369ADV17 |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 765300.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.616652270821 |
| 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. | 2026-12-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.17750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MYT HOLDING LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | MYT Holding LLC |
| d. CUSIP (if any). | 55406N202 |
| At least one of the following other identifiers: |
| - ISIN | US55406N2027 |
| - Ticker (if ISIN is not available). | MYTHLD |
| Balance. (2) |
| a. Balance | 50188.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 53450.22000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.043068338610 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-preferred
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| 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: 325 |
| a. Name of issuer (if any). | GLOBAL AIR LEASE CO LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Global Aircraft Leasing Co Ltd |
| d. CUSIP (if any). | 37960JAA6 |
| At least one of the following other identifiers: |
| - ISIN | US37960JAA60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BKDRG65 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1073814.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1007559.68000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.811856742009 |
| 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. | 2024-09-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2021-KG05 Mortgage Trust |
| d. CUSIP (if any). | 30318WAN3 |
| At least one of the following other identifiers: |
| - ISIN | US30318WAN39 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 486220.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.391779420422 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | OCCIDENTAL PETROLEUM COR |
| b. LEI (if any) of issuer. (1) | IM7X0T3ECJW4C1T7ON55 |
| c. Title of the issue or description of the investment. | Occidental Petroleum Corp |
| d. CUSIP (if any). | 674599CJ2 |
| At least one of the following other identifiers: |
| - ISIN | US674599CJ22 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDBFN16 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 955000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 913285.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.735893948972 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2046-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 4.40000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | REPUBLIC OF ANGOLA |
| b. LEI (if any) of issuer. (1) | 549300QHR2R3J8JSGK83 |
| c. Title of the issue or description of the investment. | Angolan Government International Bond |
| d. CUSIP (if any). | 035198AB6 |
| At least one of the following other identifiers: |
| - ISIN | US035198AB62 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFY6P69 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 448000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 451315.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.363654178670 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
ANGOLA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-05-09 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KINGDOM OF BAHRAIN |
| b. LEI (if any) of issuer. (1) | 549300RODM1WN85LFQ95 |
| c. Title of the issue or description of the investment. | Bahrain Government International Bond |
| d. CUSIP (if any). | 05674RAG9 |
| At least one of the following other identifiers: |
| - ISIN | US05674RAG92 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BDFD929 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 319059.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.257087190470 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
BAHRAIN
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-12 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Amplify Energy Corp |
| b. LEI (if any) of issuer. (1) | J0TW5YQRAZXYN7VEU787 |
| c. Title of the issue or description of the investment. | Amplify Energy Corp |
| d. CUSIP (if any). | 03212B103 |
| At least one of the following other identifiers: |
| - ISIN | US03212B1035 |
| - Ticker (if ISIN is not available). | AMPY |
| Balance. (2) |
| a. Balance | 6.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 22.38000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000018033029 |
| 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: 331 |
| a. Name of issuer (if any). | AEROVIAS DE MEXICO S.A. |
| b. LEI (if any) of issuer. (1) | 549300TK6ZHQ3FJ26B03 |
| c. Title of the issue or description of the investment. | Aerovias de Mexico SA de CV |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | USP0096BAA19 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJN5662 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 331628.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.267214775374 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2025-02-05 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☒ Yes ☐ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| b. LEI (if any) of issuer. (1) | B4TYDEB6GKMZO031MB27 |
| c. Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | FX1039057 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1700000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 49813.14000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.040137705341 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | BANK OF AMERICA, NATIONAL ASSOCIATION | B4TYDEB6GKMZO031MB27 |
| Identification of investment. |
| Name of issuer (if any). | BANK OF AMERICA, NATIONAL ASSOCIATION |
| LEI (if any) of issuer. (22) | B4TYDEB6GKMZO031MB27 |
| Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | AAPI060_FX1039057_955_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2022-10-19 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 1700000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.14500000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-10-19 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 23688.33000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CSC HOLDINGS LLC |
| b. LEI (if any) of issuer. (1) | 3HG2WD2W22M120IUNG49 |
| c. Title of the issue or description of the investment. | CSC Holdings LLC |
| d. CUSIP (if any). | 64072UAH5 |
| At least one of the following other identifiers: |
| - ISIN | US64072UAH59 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2823468 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 610.23730000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 601.90000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000484990202 |
| 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. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 2.35629000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALLIANCE DATA SYSTEMS CO |
| b. LEI (if any) of issuer. (1) | 549300G8S4PO686J7H97 |
| c. Title of the issue or description of the investment. | Alliance Data Systems Corp |
| d. CUSIP (if any). | 018581AL2 |
| At least one of the following other identifiers: |
| - ISIN | US018581AL20 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK93J13 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1110000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1157175.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.932411592170 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Dreyfus Government Cash Management |
| b. LEI (if any) of issuer. (1) | 5493000Q69I5Q3QZIA91 |
| c. Title of the issue or description of the investment. | Dreyfus Government Cash Management |
| d. CUSIP (if any). | 262006208 |
| At least one of the following other identifiers: |
| - ISIN | US2620062081 |
| - Ticker (if ISIN is not available). | DGCXX |
| Balance. (2) |
| a. Balance | 126097.80000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 126097.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.101605245937 |
| 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: 336 |
| a. Name of issuer (if any). | PRIME HEALTHCARE SERVICE |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Prime Healthcare Services Inc |
| d. CUSIP (if any). | 74165HAB4 |
| At least one of the following other identifiers: |
| - ISIN | US74165HAB42 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BM8DDJ4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 550000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 574475.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.462892085822 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FRESB Multifamily Mortgage Pas |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FRESB 2020-SB79 Mortgage Trust |
| d. CUSIP (if any). | 30316VAF4 |
| At least one of the following other identifiers: |
| - ISIN | US30316VAF40 |
| Balance. (2) |
| a. Balance | 8079290.80000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 490870.24000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.395526261825 |
| 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. | 2040-07-25 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 1.10247300 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ballybunion Re 2021, 1/31/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ballybunion Re 2021, 1/31/25 |
| 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 | XILS00327651 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 259298.98000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.208934149795 |
| 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. | 2025-01-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BENCHMARK Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Benchmark 2020-B18 Mortgage Trust |
| d. CUSIP (if any). | 08163ABT9 |
| At least one of the following other identifiers: |
| - ISIN | US08163ABT97 |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 961853.60000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.775028363567 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2053-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.38849000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | RAIN CII CARBON LLC/CII |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Rain CII Carbon LLC / CII Carbon Corp |
| d. CUSIP (if any). | 75079RAC2 |
| At least one of the following other identifiers: |
| - ISIN | US75079RAC25 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYWW6S1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 336000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 341258.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.274974215728 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ALTICE FRANCE SA |
| b. LEI (if any) of issuer. (1) | 5493001ZMCICV4N02J21 |
| c. Title of the issue or description of the investment. | Altice France SA/France |
| d. CUSIP (if any). | 02156LAA9 |
| At least one of the following other identifiers: |
| - ISIN | US02156LAA98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYVW0D5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 211448.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.170377485117 |
| 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. | 2027-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ING GROEP NV |
| b. LEI (if any) of issuer. (1) | 549300NYKK9MWM7GGW15 |
| c. Title of the issue or description of the investment. | ING Groep NV |
| d. CUSIP (if any). | 456837AF0 |
| At least one of the following other identifiers: |
| - ISIN | US456837AF06 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BWVC688 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 350000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 374500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.301759147292 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CARNIVAL CORP |
| b. LEI (if any) of issuer. (1) | F1OF2ZSX47CR0BCWA982 |
| c. Title of the issue or description of the investment. | Carnival Corp |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2264155487 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMGZ8S6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 130000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 152991.65000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.123275380098 |
| 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. | 7.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TOTAL PLAY TELECOM |
| b. LEI (if any) of issuer. (1) | 4469000001BSAPAMOQ06 |
| c. Title of the issue or description of the investment. | Total Play Telecomunicaciones SA de CV |
| d. CUSIP (if any). | 89157FAA8 |
| At least one of the following other identifiers: |
| - ISIN | US89157FAA84 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMWB7N6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 770000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 773549.70000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.623299593751 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2025-11-12 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOODYEAR TIRE & RUBBER |
| b. LEI (if any) of issuer. (1) | 5493002BI0S2ZQUY3437 |
| c. Title of the issue or description of the investment. | Goodyear Tire & Rubber Co/The |
| d. CUSIP (if any). | 382550BH3 |
| At least one of the following other identifiers: |
| - ISIN | US382550BH30 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMFKW02 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 555000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 591075.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.476267791684 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-31 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. (1) | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FX1042852 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -1680000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | -48.49000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | -0.00003907156 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | GOLDMAN SACHS & CO. LLC | FOR8UP27PHTHYVLBNG30 |
| Identification of investment. |
| Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of issuer. (22) | FOR8UP27PHTHYVLBNG30 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | AAPI060_FX1042852_5_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-02-14 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | -1680000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.16250000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-02-14 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 11318.91000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BEAZER HOMES USA |
| b. LEI (if any) of issuer. (1) | 549300DUPYT2T0F60I45 |
| c. Title of the issue or description of the investment. | Beazer Homes USA Inc |
| d. CUSIP (if any). | 07556QBT1 |
| At least one of the following other identifiers: |
| - ISIN | US07556QBT13 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLNR565 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 885000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 944737.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.761236802175 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ACU PETROLEO LUXEMBOURG |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Acu Petroleo Luxembourg Sarl |
| d. CUSIP (if any). | 00110RAA5 |
| At least one of the following other identifiers: |
| - ISIN | US00110RAA59 |
| Balance. (2) |
| a. Balance | 815000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 796662.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.641923088597 |
| 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. | 2032-01-13 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JOSEPH T RYERSON & SON I |
| b. LEI (if any) of issuer. (1) | 54930086XMNNXPXPWJ34 |
| c. Title of the issue or description of the investment. | Joseph T Ryerson & Son Inc |
| d. CUSIP (if any). | 48088LAB3 |
| At least one of the following other identifiers: |
| - ISIN | US48088LAB36 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLCGQH1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 323000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 348032.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.280432551214 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDEN RE II LTD |
| b. LEI (if any) of issuer. (1) | 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment. | Eden Re II Ltd |
| d. CUSIP (if any). | 27954GAB9 |
| At least one of the following other identifiers: |
| - ISIN | US27954GAB95 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFFK366 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 37500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11857.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.009554363388 |
| 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. | 2022-03-22 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLEAR CHANNEL INTL BV |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Clear Channel International BV |
| d. CUSIP (if any). | 18452MAB2 |
| At least one of the following other identifiers: |
| - ISIN | US18452MAB28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMXFRB5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 205500.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.165584792439 |
| 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. | 2025-08-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
| b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
| c. Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | FX1001162 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 800000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 33616.49000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.027087004959 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | 7H6GLXDRUGQFU57RNE97 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☒ Put ☐ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☐ Written ☒ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | 7H6GLXDRUGQFU57RNE97 |
| Identification of investment. |
| Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
| LEI (if any) of issuer. (22) | 7H6GLXDRUGQFU57RNE97 |
| Title of the issue or description of the investment. | USD CALL VERSUS EUR PUT |
| 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 | AAPI060_FX1001162_2467_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
Euro Member Countries
|
| Value. (4) | 0.00000000 |
| Exchange rate. | 0.00000000 |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
UNITED STATES OF AMERICA
|
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
Euro Member Countries
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
United States Dollar
|
| iii. Settlement date. | 2022-02-04 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | 800000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.16550000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-02-04 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 22268.63000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SCIENTIFIC GAMES INTERNA |
| b. LEI (if any) of issuer. (1) | RLTHESQ0RNFQJWPBJN60 |
| c. Title of the issue or description of the investment. | Scientific Games International Inc |
| d. CUSIP (if any). | 80874YBA7 |
| At least one of the following other identifiers: |
| - ISIN | US80874YBA73 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJRL235 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1574000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1642862.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.323761781356 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2026-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PECF USS INTERMEDIATE HO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | PECF USS Intermediate Holding III Corp |
| d. CUSIP (if any). | 69291HAA3 |
| At least one of the following other identifiers: |
| - ISIN | US69291HAA32 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BP9RHW7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 410000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 414100.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.333667457659 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | SBERBANK (SB CAP SA) |
| b. LEI (if any) of issuer. (1) | 222100YFG9QVABDS2B03 |
| c. Title of the issue or description of the investment. | Sberbank of Russia Via SB Capital SA |
| d. CUSIP (if any). | 78406JAD6 |
| At least one of the following other identifiers: |
| - ISIN | US78406JAD63 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B9XQF79 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 200240.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.161346466365 |
| 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. | 2023-05-23 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LUNE HOLDINGS SARL |
| b. LEI (if any) of issuer. (1) | 54930003WQ56T0558M33 |
| c. Title of the issue or description of the investment. | Lune Holdings Sarl |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2406727409 |
| Balance. (2) |
| a. Balance | 420000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 452522.33000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.364626842273 |
| 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. | 2028-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | COMPEER FINANCIAL ACA |
| b. LEI (if any) of issuer. (1) | 54930020HTACTODKHT04 |
| c. Title of the issue or description of the investment. | Compeer Financial ACA |
| d. CUSIP (if any). | 20453Q201 |
| At least one of the following other identifiers: |
| - ISIN | US20453Q2012 |
| - Ticker (if ISIN is not available). | AGSTAR |
| Balance. (2) |
| a. Balance | 500.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 525000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.423026841998 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Equity-preferred
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
| 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: 358 |
| a. Name of issuer (if any). | ONEMAIN FINANCE CORP |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | OneMain Finance Corp |
| d. CUSIP (if any). | 85172FAQ2 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAQ28 |
| - 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 | 75000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 80501.74000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.064865517804 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.62500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TARGUS INC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | TARGUS INC |
| 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 | 32723X |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 42088.00000000 |
| b. Units |
Number of shares
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 64394.64000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.051886973715 |
| 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: 360 |
| a. Name of issuer (if any). | UNITED WHOLESALE MTGE LL |
| b. LEI (if any) of issuer. (1) | 549300HW662MN1WU8550 |
| c. Title of the issue or description of the investment. | United Wholesale Mortgage LLC |
| d. CUSIP (if any). | 913229AC4 |
| At least one of the following other identifiers: |
| - ISIN | US913229AC47 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV9V95 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 865000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 816975.20000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.658290359708 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | AAG FH LP/AAG FH FINCO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | AAG FH LP / AAG FH Finco Inc |
| d. CUSIP (if any). | 00033AAA6 |
| At least one of the following other identifiers: |
| - ISIN | US00033AAA60 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJVHJ05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 575000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 567829.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.457537573209 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-07-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UKRAINE GOVERNMENT |
| b. LEI (if any) of issuer. (1) | 6354001WLTJXOMEXPY07 |
| c. Title of the issue or description of the investment. | Ukraine Government International Bond |
| d. CUSIP (if any). | 903724BW1 |
| At least one of the following other identifiers: |
| - ISIN | US903724BW19 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFZYTX7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 690000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.555978135197 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
| a. ISO country code. (8) |
UKRAINE
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2024-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.99400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Viribus Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Viribus Re 2021, 12/31/24 |
| 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 | XILS00265549 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 216242.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 209516.87000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.168821447355 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JP Morgan Chase Commercial Mor |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 |
| d. CUSIP (if any). | 46639YAX5 |
| At least one of the following other identifiers: |
| - ISIN | US46639YAX58 |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 409910.45000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.330291663172 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2046-04-15 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 4.16424100 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | UNITED NATURAL FOODS INC |
| b. LEI (if any) of issuer. (1) | 549300GKGW6WPZ282D40 |
| c. Title of the issue or description of the investment. | United Natural Foods Inc |
| d. CUSIP (if any). | 911163AA1 |
| At least one of the following other identifiers: |
| - ISIN | US911163AA17 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMV3XY6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 239159.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.192706251927 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-10-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRICIDA INC |
| b. LEI (if any) of issuer. (1) | 549300QVPFFJC8SZXG25 |
| c. Title of the issue or description of the investment. | Tricida Inc |
| d. CUSIP (if any). | 89610FAB7 |
| At least one of the following other identifiers: |
| - ISIN | US89610FAB76 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN44P36 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 159663.35000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.128651205206 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-05-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 3.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☒ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| #1 | TRICIDA INC | Tricida Inc | United States Dollar |
| At least one of the following other identifiers: | |||
| Identifier type | Identifier value | ||
| CUSIP | 89610FAB7 | ||
| ISIN (if CUSIP is not available) | US89610FAB76 | ||
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| #1 | 30.09780000 | United States Dollar |
| v. Delta (if applicable). | XXXX |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| Schedule of Portfolio Investments Record: 367 |
| a. Name of issuer (if any). | AADVANTAGE LOYALTY IP |
| b. LEI (if any) of issuer. (1) | IWUQB36BXD6OWD6X4T14 |
| c. Title of the issue or description of the investment. | AAdvantage Loyalty IP Ltd |
| d. CUSIP (if any). | 02376CBJ3 |
| At least one of the following other identifiers: |
| - ISIN | US02376CBJ36 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3570811 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 175000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 181937.53000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.146598969060 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Loan
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CAYMAN ISLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2028-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | State Street Bank and Trust Company |
| b. LEI (if any) of issuer. (1) | 571474TGEMMWANRLN572 |
| c. Title of the issue or description of the investment. | EUR/USD FORWARD |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - Ticker (if ISIN is not available). | N/A |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MDJ2201240310993 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | -13214.08000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | -0.01064744863 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | State Street Bank and Trust Company | 571474TGEMMWANRLN572 |
| i. Amount and description of currency sold. |
| Amount of currency sold. | -2535199.52000000 |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | 2240000.00000000 |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-04-28 |
| iv. Unrealized appreciation or depreciation. (24) | -13214.08000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | INTERNATIONAL GAME TECH |
| b. LEI (if any) of issuer. (1) | 549300UQ6KHRCZDRGZ76 |
| c. Title of the issue or description of the investment. | International Game Technology PLC |
| d. CUSIP (if any). | 460599AD5 |
| At least one of the following other identifiers: |
| - ISIN | US460599AD57 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BGQVRL8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 305000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 331908.63000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.267440494439 |
| 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. | 2027-01-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | VERSCEND ESCROW CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Verscend Escrow Corp |
| d. CUSIP (if any). | 92535WAA8 |
| At least one of the following other identifiers: |
| - ISIN | US92535WAA80 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD0BPV9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 411000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 431628.09000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.347790986343 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 9.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EXTERRAN NRG SOLUTIONS/F |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Exterran Energy Solutions LP / EES Finance Corp |
| d. CUSIP (if any). | 30227KAE9 |
| At least one of the following other identifiers: |
| - ISIN | US30227KAE91 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD1MLF7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 748125.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.602813249847 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Lion Rock Re 2021, 12/31/24 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lion Rock Re 2021, 12/31/24 |
| 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 | XILS00265784 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 195225.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.157305552817 |
| 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. | 2024-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CENOVUS ENERGY INC |
| b. LEI (if any) of issuer. (1) | 549300EIRQ0Z2B9C1W06 |
| c. Title of the issue or description of the investment. | Cenovus Energy Inc |
| d. CUSIP (if any). | 15135UAF6 |
| At least one of the following other identifiers: |
| - ISIN | US15135UAF66 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B43X0M5 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 660000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 861730.52000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.694352648626 |
| 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. | 2039-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GoldenTree Loan Management US |
| b. LEI (if any) of issuer. (1) | 549300UYD6YMBA6XSE43 |
| c. Title of the issue or description of the investment. | Goldentree Loan Management US Clo 2 Ltd |
| d. CUSIP (if any). | 38136PAA9 |
| At least one of the following other identifiers: |
| - ISIN | US38136PAA93 |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 472850.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.381006578575 |
| 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. | 2030-11-28 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 4.95400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENTERPRISE DEVELOP AUTH |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Enterprise Development Authority/The |
| 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 | BL3556604 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1227187.50000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1230767.21000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.991709649678 |
| 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. | 2028-02-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | COLGATE ENERGY PARTNERS |
| b. LEI (if any) of issuer. (1) | 549300QRLZK0B17DH791 |
| c. Title of the issue or description of the investment. | Colgate Energy Partners III LLC |
| d. CUSIP (if any). | 19416MAA7 |
| At least one of the following other identifiers: |
| - ISIN | US19416MAA71 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNKLTC8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 995000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1067137.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.859862488767 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Merion Re 2018-2, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Merion Re 2018-2, 12/31/21 |
| 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 | BNR3MU1B8 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 82750.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.066677087953 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BAYTEX ENERGY CORP |
| b. LEI (if any) of issuer. (1) | 549300R5LTV2H7I1I079 |
| c. Title of the issue or description of the investment. | Baytex Energy Corp |
| d. CUSIP (if any). | 07317QAH8 |
| At least one of the following other identifiers: |
| - ISIN | US07317QAH83 |
| - 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 | 1685000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1802950.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.452754751963 |
| 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. | 8.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST BRANDS GROUP LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | First Brands Group LLC |
| d. CUSIP (if any). | 31935HAD9 |
| At least one of the following other identifiers: |
| - ISIN | US31935HAD98 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL3572759 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 665250.49610000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 667467.78000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.537822451636 |
| 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. | 2027-03-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | HYPATIA LTD |
| b. LEI (if any) of issuer. (1) | 98450041F85DB4C2C372 |
| c. Title of the issue or description of the investment. | Hypatia Ltd |
| d. CUSIP (if any). | 44914CAA4 |
| At least one of the following other identifiers: |
| - ISIN | US44914CAA45 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL5BWD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 261075.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.210365205285 |
| 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. | 2023-06-07 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.45250600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ROYAL CARIBBEAN CRUISES |
| b. LEI (if any) of issuer. (1) | K2NEH8QNVW44JIWK7Z55 |
| c. Title of the issue or description of the investment. | Royal Caribbean Cruises Ltd |
| d. CUSIP (if any). | 780153BC5 |
| At least one of the following other identifiers: |
| - ISIN | US780153BC56 |
| - 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 | 125000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 131687.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.106109232867 |
| 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. | 9.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | S6XOOCT0IEG5ABCC6L87 |
| c. Title of the issue or description of the investment. | Freddie Mac Structured Agency Credit Risk Debt Notes |
| d. CUSIP (if any). | 35564KNE5 |
| At least one of the following other identifiers: |
| - ISIN | US35564KNE54 |
| Balance. (2) |
| a. Balance | 200000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 199499.86000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.160750087152 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2041-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 7.84967000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREMF Mortgage Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | FREMF 2021-KG05 Mortgage Trust |
| d. CUSIP (if any). | 30318WAJ2 |
| At least one of the following other identifiers: |
| - ISIN | US30318WAJ27 |
| Balance. (2) |
| a. Balance | 12333286.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 86159.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.069424022823 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2031-01-25 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 0.10000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ELDORADO GOLD CORP |
| b. LEI (if any) of issuer. (1) | 5493004PWQ01YDD1IH62 |
| c. Title of the issue or description of the investment. | Eldorado Gold Corp |
| d. CUSIP (if any). | 284902AF0 |
| At least one of the following other identifiers: |
| - ISIN | US284902AF02 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMY1GD7 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1635000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1634885.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.317334230943 |
| 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. | 2029-09-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | OLIN CORP |
| b. LEI (if any) of issuer. (1) | 549300GKK294V7W57P06 |
| c. Title of the issue or description of the investment. | Olin Corp |
| d. CUSIP (if any). | 680665AM8 |
| At least one of the following other identifiers: |
| - ISIN | US680665AM82 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLBPXJ0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 280000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 336000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.270737178878 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Pangaea Re 2018-1, 12/31/21 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Pangaea Re 2018-1, 12/31/21 |
| 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 | BNR3MYH98 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 1000000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 21054.49000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.016964979837 |
| 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. | 2022-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FREEDOM MORTGAGE CORP |
| b. LEI (if any) of issuer. (1) | 549300LYRWPSYPK6S325 |
| c. Title of the issue or description of the investment. | Freedom Mortgage Corp |
| d. CUSIP (if any). | 35640YAB3 |
| At least one of the following other identifiers: |
| - ISIN | US35640YAB39 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF0YND0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 911000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 911154.87000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.734177080433 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | P&L DEV LLC/PLD FIN CORP |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | P&L Development LLC / PLD Finance Corp |
| d. CUSIP (if any). | 69306RAA4 |
| At least one of the following other identifiers: |
| - ISIN | US69306RAA41 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLDRMD1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 465000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 451050.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.363440489682 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ONEMAIN FINANCE CORP |
| b. LEI (if any) of issuer. (1) | 5493008I795YYBFWFU90 |
| c. Title of the issue or description of the investment. | OneMain Finance Corp |
| d. CUSIP (if any). | 85172FAS8 |
| At least one of the following other identifiers: |
| - ISIN | US85172FAS83 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMF6PF6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 215000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 228203.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.183878205482 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 8.87500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Port Royal Re 2021, 5/31/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Port Royal Re 2021, 5/31/25 |
| 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 | XILS00311791 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 250187.28000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.201592257079 |
| 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. | 2025-05-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CLEAR CHANNEL OUTDOOR HO |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Clear Channel Outdoor Holdings Inc |
| d. CUSIP (if any). | 18453HAC0 |
| At least one of the following other identifiers: |
| - ISIN | US18453HAC07 |
| - 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 | 535000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 555062.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.447250164736 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BARCLAYS PLC |
| b. LEI (if any) of issuer. (1) | 213800LBQA1Y9L22JB70 |
| c. Title of the issue or description of the investment. | Barclays PLC |
| d. CUSIP (if any). | 06738EBA2 |
| At least one of the following other identifiers: |
| - ISIN | US06738EBA29 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFXKXB3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 650000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 690625.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.556481738581 |
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GARDA WORLD SECURITY COR |
| b. LEI (if any) of issuer. (1) | 549300ZF1NDXLMCHNO20 |
| c. Title of the issue or description of the investment. | Garda World Security Corp |
| d. CUSIP (if any). | 36257BAA7 |
| At least one of the following other identifiers: |
| - ISIN | US36257BAA70 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJLPV14 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 958000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1006858.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.811291352534 |
| 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. | 2027-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 9.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | ENERGY TRANSFER LP |
| b. LEI (if any) of issuer. (1) | MTLVN9N7JE8MIBIJ1H73 |
| c. Title of the issue or description of the investment. | Energy Transfer LP |
| d. CUSIP (if any). | 29273VAM2 |
| At least one of the following other identifiers: |
| - ISIN | US29273VAM28 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMHR7W8 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 915000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 930440.63000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.749716878811 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.12500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WINDSTREAM ESCROW LLC |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Windstream Escrow LLC / Windstream Escrow Finance Corp |
| d. CUSIP (if any). | 97382WAA1 |
| At least one of the following other identifiers: |
| - ISIN | US97382WAA18 |
| - 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 | 875000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 882393.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.711002364688 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Ballybunion Re 2021-2, 6/30/25 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Ballybunion Re 2021-2, 6/30/25 |
| 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 | XILS00327652 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 517400.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.416903024856 |
| 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. | 2025-06-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TEVA PHARMACEUTICALS NE |
| b. LEI (if any) of issuer. (1) | 5493004T21MOAFINJP35 |
| c. Title of the issue or description of the investment. | Teva Pharmaceutical Finance Netherlands III BV |
| d. CUSIP (if any). | 88167AAD3 |
| At least one of the following other identifiers: |
| - ISIN | US88167AAD37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BD9F761 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 493000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 483140.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.389297501796 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
NETHERLANDS
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-07-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 2.80000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDEN RE II LTD |
| b. LEI (if any) of issuer. (1) | 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment. | Eden Re II Ltd |
| d. CUSIP (if any). | 27955KAB9 |
| At least one of the following other identifiers: |
| - ISIN | US27955KAB98 |
| Balance. (2) |
| a. Balance | 400000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 400000.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.322306165332 |
| 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. | 2026-03-20 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | KILIMANJARO III RE LTD |
| b. LEI (if any) of issuer. (1) | 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment. | Kilimanjaro III Re Ltd |
| d. CUSIP (if any). | 49407PAH3 |
| At least one of the following other identifiers: |
| - ISIN | US49407PAH38 |
| Balance. (2) |
| a. Balance | 250000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 247925.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.199769390099 |
| 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. | 2026-04-20 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 11.42750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DELEK LOG PART/FINANCE |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Delek Logistics Partners LP / Delek Logistics Finance Corp |
| d. CUSIP (if any). | 24665FAB8 |
| At least one of the following other identifiers: |
| - ISIN | US24665FAB85 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BZ2YGN9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 555000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 557225.55000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.448993075613 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Multifamily Structured Credit |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac Multifamily Structured Credit Risk |
| d. CUSIP (if any). | 35563GAC3 |
| At least one of the following other identifiers: |
| - ISIN | US35563GAC33 |
| Balance. (2) |
| a. Balance | 180000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 179255.29000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.144437712838 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2051-11-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.89967000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | FIRST QUANTUM MINERALS L |
| b. LEI (if any) of issuer. (1) | 549300I7UVBGWRYMYZ18 |
| c. Title of the issue or description of the investment. | First Quantum Minerals Ltd |
| d. CUSIP (if any). | 335934AK1 |
| At least one of the following other identifiers: |
| - ISIN | US335934AK15 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF37080 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 225000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 225838.69000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.181973005393 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2023-04-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.25000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | GARFUNKELUX HOLDCO 3 SA |
| b. LEI (if any) of issuer. (1) | 2221007QVSNJV7EWBX69 |
| c. Title of the issue or description of the investment. | Garfunkelux Holdco 3 SA |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | XS2250155541 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLN9VP2 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 400000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United Kingdom Pound
|
| e. Value. (4) | 550236.25000000 |
| f. Exchange rate. | 0.74354970 |
| g. Percentage value compared to net assets of the Fund. | 0.443361339410 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
LUXEMBOURG
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-11-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 7.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | TRONOX INC |
| b. LEI (if any) of issuer. (1) | 549300EPZ4YXC7E5P181 |
| c. Title of the issue or description of the investment. | Tronox Inc |
| d. CUSIP (if any). | 897051AB4 |
| At least one of the following other identifiers: |
| - ISIN | US897051AB46 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BLF8027 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 600000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 622680.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.501734007572 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2025-05-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Alturas Re 2019-3, 9/12/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Alturas Re 2019-3, 9/12/23 |
| 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 | 332K64 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 24550.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 11953.40000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.009631636291 |
| 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. | 2023-09-12 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MONA LISA RE LTD |
| b. LEI (if any) of issuer. (1) | 549300R6SO6XBFDC7M25 |
| c. Title of the issue or description of the investment. | Mona Lisa Re Ltd |
| d. CUSIP (if any). | 608800AD0 |
| At least one of the following other identifiers: |
| - ISIN | US608800AD07 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BJXCZG6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 758925.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.611515516311 |
| 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. | 2023-01-09 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 8.17750600 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Viribus Re 2020, 12/31/23 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Viribus Re 2020, 12/31/23 |
| 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 | XILS00172222 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 240783.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1950.34000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.001571516516 |
| 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. | 2023-12-31 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DTI HOLDCO INC |
| b. LEI (if any) of issuer. (1) | 549300QQVMUL3P8XVJ27 |
| c. Title of the issue or description of the investment. | DTI Holdco Inc |
| d. CUSIP (if any). | 23358EAD1 |
| At least one of the following other identifiers: |
| - ISIN | US23358EAD13 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BL2654939 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 549405.55400000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 546959.05000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.440720684997 |
| 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. | 2023-09-30 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | BANCO MERCANTIL DE NORTE |
| b. LEI (if any) of issuer. (1) | 549300QTVYRPFHS0J362 |
| c. Title of the issue or description of the investment. | Banco Mercantil del Norte SA/Grand Cayman |
| d. CUSIP (if any). | 05971PAC2 |
| At least one of the following other identifiers: |
| - ISIN | US05971PAC23 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BN4CPT6 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 685000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 750938.10000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.605079948531 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | N/A |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.37500000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | WILLIAMS COMPANIES INC |
| b. LEI (if any) of issuer. (1) | D71FAKCBLFS2O0RBPG08 |
| c. Title of the issue or description of the investment. | Williams Cos Inc/The |
| d. CUSIP (if any). | 969457BV1 |
| At least one of the following other identifiers: |
| - ISIN | US969457BV14 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BNH5SJ3 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 1175000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 1452063.98000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 1.170022933026 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2044-06-24 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 5.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Lorenz Re 2018, 7/1/22 |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Lorenz Re 2018, 7/1/22 |
| 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 | BNR3Y35Y1 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| 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. | 2022-07-01 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 0.01000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | PETROLEOS MEXICANOS |
| b. LEI (if any) of issuer. (1) | 549300CAZKPF4HKMPX17 |
| c. Title of the issue or description of the investment. | Petroleos Mexicanos |
| d. CUSIP (if any). | 71643VAA3 |
| At least one of the following other identifiers: |
| - ISIN | US71643VAA35 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMG72M4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 674000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 666815.16000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.537296593012 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2032-02-16 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.70000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | YPF SOCIEDAD ANONIMA |
| b. LEI (if any) of issuer. (1) | 5493003N7447U18U5U53 |
| c. Title of the issue or description of the investment. | YPF SA |
| d. CUSIP (if any). | 984245AQ3 |
| At least one of the following other identifiers: |
| - ISIN | US984245AQ34 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BF3ZR05 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 835000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 546666.15000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.440484676308 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
ARGENTINA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2027-07-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.95000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | LYB FINANCE CO BV |
| b. LEI (if any) of issuer. (1) | 549300BBGA3CFHX0KS75 |
| c. Title of the issue or description of the investment. | LYB Finance Co BV |
| d. CUSIP (if any). | 61238QAA6 |
| At least one of the following other identifiers: |
| - ISIN | US61238QAA67 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B095FB1 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 300000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 376476.50000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.303351742631 |
| 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. | 2027-03-15 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.10000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | STAPLES INC |
| b. LEI (if any) of issuer. (1) | XQM2JINI1UL7642TU573 |
| c. Title of the issue or description of the investment. | Staples Inc |
| d. CUSIP (if any). | 855030AN2 |
| At least one of the following other identifiers: |
| - ISIN | US855030AN20 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BK0L4K0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 389000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 383651.25000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.309132908030 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| 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. | 7.50000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
| b. LEI (if any) of issuer. (1) | 7H6GLXDRUGQFU57RNE97 |
| c. Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | FX1001168 |
| Description of other unique identifier. | INTERNAL |
| Balance. (2) |
| a. Balance | -800000.00000000 |
| b. Units |
Number of contracts
|
| c. Description of other units. | |
| d. Currency. (3) |
Euro Member Countries
|
| e. Value. (4) | 0.00000000 |
| f. Exchange rate. | 0.89011526 |
| g. Percentage value compared to net assets of the Fund. | 0.000000 |
| a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
| a. Asset type. (6) |
Derivative-foreign exchange
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| N/A |
| N/A |
| a. Type of derivative instrument (21) |
Option
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | 7H6GLXDRUGQFU57RNE97 |
| ii. Type, selected from among the following (put, call). Respond call for warrants. | ☐ Put ☒ Call |
| iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | ☒ Written ☐ Purchased |
| 1. The reference instrument is a derivative. (25) |
| Start of Nested Derivatives |
| a. Type of derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
| Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
|---|---|---|
| #1 | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION | 7H6GLXDRUGQFU57RNE97 |
| Identification of investment. |
| Name of issuer (if any). | JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
| LEI (if any) of issuer. (22) | 7H6GLXDRUGQFU57RNE97 |
| Title of the issue or description of the investment. | EUR CALL VERSUS USD PUT |
| 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 | AAPI060_FX1001168_2467_S |
| Description of other unique identifier. | INTERNAL |
| Amount of each investment. |
| Balance. (2) |
| Balance | 0.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. (3) |
United States Dollar
|
| Value. (4) | 0.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.00000000 |
| Asset and issuer type. Select the category that most closely identifies the instrument among each of the following: |
| Asset type. (6) |
Derivative-foreign exchange
|
| Issuer type. (7) |
Corporate
|
| Country of investment or issuer. |
| ISO country code. (8) |
UNITED STATES OF AMERICA
|
| Investment ISO country code. (9) |
| i. Amount and description of currency sold. |
| Amount of currency sold. | N/A |
| Description of currency sold. |
United States Dollar
|
| ii. Amount and description of currency purchased. |
| Amount of currency purchased. | N/A |
| Description of currency purchased. |
Euro Member Countries
|
| iii. Settlement date. | 2022-02-04 |
| End of Nested Derivatives |
| iv. Number of shares or principal amount of underlying reference instrument per contract. |
| Principal amount of underlying reference instrument per contract. | -800000.00000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Exercise price or rate. | 1.25000000 |
| vi. Exercise Price Currency Code |
Euro Member Countries
|
| vii. Expiration date. | 2022-02-04 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. (24) | 11347.86000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Morgan Stanley Capital I Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Morgan Stanley Capital I Trust 2007-TOP25 |
| d. CUSIP (if any). | 61751XAG5 |
| At least one of the following other identifiers: |
| - ISIN | US61751XAG51 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | B7N9BP4 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 173539.16000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 130154.37000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.104873889739 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2049-11-12 |
| b. Coupon. |
| i. Coupon category. (13) | Variable |
| ii. Annualized rate. | 5.57400000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | DIGICEL LTD |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Digicel Ltd |
| d. CUSIP (if any). | 000000000 |
| At least one of the following other identifiers: |
| - ISIN | USG27649AG04 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BW1YMC0 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 750000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 728445.00000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.586955786513 |
| 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. | 2023-03-01 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 6.75000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | MED Trust |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Med Trust 2021-MDLN |
| d. CUSIP (if any). | 58403YBA3 |
| At least one of the following other identifiers: |
| - ISIN | US58403YBA38 |
| Balance. (2) |
| a. Balance | 500000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 493735.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.397835230962 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2038-11-15 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 5.35700000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | EDEN RE II LTD |
| b. LEI (if any) of issuer. (1) | 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment. | Eden Re II Ltd |
| d. CUSIP (if any). | 27954GAA1 |
| At least one of the following other identifiers: |
| - ISIN | US27954GAA13 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BFX78V9 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 12500.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 3738.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.003012555439 |
| 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. | 2022-03-22 |
| b. Coupon. |
| i. Coupon category. (13) | None |
| ii. Annualized rate. | 0.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | CREDITO REAL SAB DE CV |
| b. LEI (if any) of issuer. (1) | 549300W2IL7TPPCTKL39 |
| c. Title of the issue or description of the investment. | Credito Real SAB de CV SOFOM ER |
| d. CUSIP (if any). | 22547AAD3 |
| At least one of the following other identifiers: |
| - ISIN | US22547AAD37 |
| - Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BMVHP31 |
| Description of other unique identifier. | SEDOL |
| Balance. (2) |
| a. Balance | 275000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 81127.75000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.065369935011 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
Debt
|
| b. Issuer type. (7) |
Corporate
|
| 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. | 2028-01-21 |
| b. Coupon. |
| i. Coupon category. (13) | Fixed |
| ii. Annualized rate. | 8.00000000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received 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). | Freddie Mac - STACR |
| b. LEI (if any) of issuer. (1) | N/A |
| c. Title of the issue or description of the investment. | Freddie Mac STACR REMIC Trust 2021-HQA3 |
| d. CUSIP (if any). | 35564KKL2 |
| At least one of the following other identifiers: |
| - ISIN | US35564KKL25 |
| Balance. (2) |
| a. Balance | 210000.00000000 |
| b. Units |
Principal amount
|
| c. Description of other units. | |
| d. Currency. (3) |
United States Dollar
|
| e. Value. (4) | 197006.80000000 |
| f. Exchange rate. | |
| g. Percentage value compared to net assets of the Fund. | 0.158741265630 |
| a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
| a. Asset type. (6) |
ABS-mortgage backed security
|
| b. Issuer type. (7) |
Corporate
|
| a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment ISO country code. (9) |
| a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
| a. Liquidity classification information. (10) |
| Category. |
N/A
|
| a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
| For debt securities, also provide: |
| a. Maturity date. | 2041-09-25 |
| b. Coupon. |
| i. Coupon category. (13) | Floating |
| ii. Annualized rate. | 6.29967000 |
| c. Currently in default? | ☐ Yes ☒ No |
| d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
| e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory convertible? | ☐ Yes ☐ No |
| ii. Contingent convertible? | ☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
|---|---|---|---|
| — | — | — | — |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
|---|---|---|
| — | — | — |
| v. Delta (if applicable). |
| N/A |
| N/A |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
| c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
| The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
| Explanatory Note Record | Note Item | Explanatory Notes |
|---|---|---|
| #1 | C.8 | The Fund amended Form N-PORT for the period ended January 31, 2022 to correct the filing for security fair value leveling in Item C.8. The fund did not report any level 3 securities but it should have. |
| #2 | C.5.a | ISO country code not reported for supranationals. |
| The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. |
| Registrant: | Pioneer Diversified High Income Fund, Inc. |
| By (Signature): | Anthony J. Koenig, Jr |
| Name: | Anthony J. Koenig, Jr |
| Title: | Managing Director, Chief Operations Officer & Treasurer of the Funds |
| Date: | 2022-07-18 |