Monthly Portfolio Investments Report on Form N-port (public) (nport-p)
May 19 2023 - 12:27PM
Edgar (US Regulatory)
The Securities and Exchange Commission has not necessarily reviewed
the information in this filing and has not determined if it is
accurate and complete.
The reader should not assume that the information is accurate and
complete. |
UNITED
STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM NPORT-P
Monthly Portfolio Investments Report |
NPORT-P: Filer Information
|
Confidential |
☐ |
| Filer CIK |
0001166258
|
| Filer CCC |
********
|
| Filer
Investment Company Type |
|
| Is this a LIVE
or TEST Filing? |
☐ LIVE ☐ TEST |
| Would you like
a Return Copy? |
☐ |
| Is this an
electronic copy of an official filing submitted in paper
format? |
☐ |
Submission Contact Information
| Name |
|
| Phone |
|
| E-Mail
Address |
|
Notification Information
| Notify via
Filing Website only? |
☐ |
|
Notification E-mail Address |
|
| Series ID |
|
NPORT-P: Part A: General Information
Item A.1. Information about the Registrant.
| a. Name of
Registrant |
Pioneer High Income Fund, Inc.
|
| b. Investment
Company Act file number for Registrant: (e.g., 811-______) |
811-21043
|
| c. CIK number
of Registrant |
0001166258
|
| d. LEI of
Registrant |
5493001GCNPC0XWPCF03
|
| 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
|
Item A.2. Information about the Series.
| a. Name of
Series. |
Pioneer High Income Fund, Inc.
|
| b. EDGAR series
identifier (if any). |
|
| c. LEI of
Series. |
5493001GCNPC0XWPCF03
|
Item A.3. Reporting period.
| a. Date of
fiscal year-end. |
2023-03-31
|
| b. Date as of
which information is reported. |
2023-03-31
|
Item A.4. Final filing
| a. Does the
Fund anticipate that this will be its final filing on Form N
PORT? |
☐ Yes ☒ No |
NPORT-P: Part B: Information About the Fund
| Report the following information for the Fund and its
consolidated subsidiaries. |
Item B.1. Assets and liabilities. Report amounts in U.S.
dollars.
| a. Total
assets, including assets attributable to miscellaneous securities
reported in Part D. |
331625731.50
|
| b. Total
liabilities. |
108737950.89
|
| c. Net
assets. |
222887780.61
|
Item B.2. Certain assets and liabilities. Report amounts in U.S.
dollars.
| a. Assets
attributable to miscellaneous securities reported in Part D. |
0.00000000
|
| b. Assets
invested in a Controlled Foreign Corporation for the purpose of
investing in certain types of instruments such as, but not limited
to, commodities. |
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. |
106500000.00000000
|
| Controlled
companies. |
0.00000000
|
| Other
affiliates. |
0.00000000
|
| Others. |
0.00000000
|
| Amounts payable after one year. |
| Banks or other
financial institutions for borrowings. |
0.00000000
|
| Controlled
companies. |
0.00000000
|
| Other
affiliates. |
0.00000000
|
| Others. |
0.00000000
|
| d. Payables for investments purchased either (i) on a delayed
delivery, when-issued, or other firm commitment basis, or (ii) on a
standby commitment basis. |
| (i) On a
delayed delivery, when-issued, or other firm commitment basis: |
0.00000000
|
| (ii) On a
standby commitment basis: |
0.00000000
|
| e. Liquidation
preference of outstanding preferred stock issued by the Fund. |
0.00000000
|
| f. Cash and
cash equivalents not reported in Parts C and D. |
2094674.52000000
|
Item B.3. Portfolio level risk metrics.
| If the average value of the Fund's debt securities positions
for the previous three months, in the aggregate, exceeds 25% or
more of the Fund's net asset value, provide: |
| a. Interest Rate Risk (DV01). For each currency for which the
Fund had a value of 1% or more of the Fund’s net asset value,
provide the change in value of the portfolio resulting from a 1
basis point change in interest rates, for each of the following
maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| b. Interest Rate Risk (DV100). For each currency for which the
Fund had a value of 1% or more of the Fund’s net asset value,
provide the change in value of the portfolio resulting from a 100
basis point change in interest rates, for each of the following
maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
| Currency
Metric Record |
ISO
Currency code |
3 month |
1 year |
5 years |
10
years |
30
years |
|
#1 |
Euro
Member Countries |
|
Interest Rate Risk (DV01) |
|
-87.22000000 |
3.85000000 |
-1484.99000000 |
0.00000000 |
0.00000000 |
|
Interest Rate Risk (DV100) |
|
-8722.00000000 |
385.00000000 |
-148499.00000000 |
0.00000000 |
0.00000000 |
|
#2 |
United States Dollar |
|
Interest Rate Risk (DV01) |
|
-1703.04000000 |
-1546.24000000 |
-72046.88000000 |
-3836.08000000 |
-15581.49000000 |
|
Interest Rate Risk (DV100) |
|
-170304.00000000 |
-154624.00000000 |
-7204688.00000000 |
-383608.00000000 |
-1558149.00000000 |
| 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 |
-1184.00000000 |
-134.00000000 |
-3972.00000000 |
-1076.00000000 |
-8964.00000000 |
|
Non-Investment grade |
-1354.00000000 |
-1742.00000000 |
-76078.00000000 |
-2795.00000000 |
-10785.00000000 |
For purposes of Item B.3., calculate value as the sum of the
absolute values of:
(i) the value of each debt security,
(ii) the notional value of each swap, including, but not limited
to, total return swaps, interest rate swaps, and credit default
swaps, for which the underlying reference asset or assets are debt
securities or an interest rate;
(iii) the notional value of each futures contract for which the
underlying reference asset or assets are debt securities or an
interest rate; and
(iv) the delta-adjusted notional value of any option for which the
underlying reference asset is an asset described in clause
(i),(ii), or (iii).
Report zero for maturities to which the Fund has no exposure. For
exposures that fall between any of the listed maturities in (a) and
(b), use linear interpolation to approximate exposure to each
maturity listed above. For exposures outside of the range of
maturities listed above, include those exposures in the nearest
maturity. |
Item B.4. Securities lending.
| a. For each
borrower in any securities lending transaction, provide the
following information: |
|
| Borrower
Information 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 |
Item B.5. Return information.
| a. Monthly total returns of the Fund for each of the preceding
three months. If the Fund is a Multiple Class Fund, report returns
for each class. Such returns shall be calculated in accordance with
the methodologies outlined in Item 26(b) (1) of Form N-1A,
Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b)
(i) of Form N-3, as applicable. |
|
Monthly Total Return Record |
Monthly total returns of the Fund for each of the preceding three
months |
Class identification number(s) (if any) of the Class(es) for which
returns are reported |
|
Month 1 |
Month 2 |
Month 3 |
|
#1 |
5.10000000 |
-1.24000000 |
-0.19000000 |
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 |
140661.88000000 |
0.00000000 |
16662.16000000 |
0.00000000 |
-63172.42000000 |
|
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 |
140661.88000000 |
0.00000000 |
16662.16000000 |
0.00000000 |
-63172.42000000 |
|
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 |
2563.35000000 |
0.00000000 |
-253.89000000 |
0.00000000 |
6550.98000000 |
|
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 |
2563.35000000 |
0.00000000 |
-253.89000000 |
0.00000000 |
6550.98000000 |
|
Other |
0.00000000 |
0.00000000 |
0.00000000 |
0.00000000 |
0.00000000 |
0.00000000 |
| Foreign Exchange
Contracts |
|
-243329.24000000 |
249647.74000000 |
-26392.20000000 |
145799.01000000 |
64940.92000000 |
-149338.15000000 |
|
Forward |
-243329.24000000 |
226699.75000000 |
-26392.20000000 |
85798.78000000 |
64940.92000000 |
-105139.00000000 |
|
Future |
0.00000000 |
0.00000000 |
0.00000000 |
0.00000000 |
0.00000000 |
0.00000000 |
|
Option |
0.00000000 |
22947.99000000 |
0.00000000 |
60000.23000000 |
0.00000000 |
-44199.15000000 |
|
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 |
-1207667.31000000 |
10177821.46000000 |
|
Month 2 |
-1016938.03000000 |
-3478403.95000000 |
|
Month 3 |
-618602.62000000 |
-1632791.66000000 |
Item B.6. Flow information.
| a. Provide the aggregate dollar amounts for sales and
redemptions/repurchases of Fund shares during each of the preceding
three months. If shares of the Fund are held in omnibus accounts,
for purposes of calculating the Fund's sales, redemptions, and
repurchases, use net sales or redemptions/repurchases from such
omnibus accounts. The amounts to be reported under this Item should
be after any front-end sales load has been deducted and before any
deferred or contingent deferred sales load or charge has been
deducted. Shares sold shall include shares sold by the Fund to a
registered unit investment trust. For mergers and other
acquisitions, include in the value of shares sold any transaction
in which the Fund acquired the assets of another investment company
or of a personal holding company in exchange for its own shares.
For liquidations, include in the value of shares redeemed any
transaction in which the Fund liquidated all or part of its assets.
Exchanges are defined as the redemption or repurchase of shares of
one Fund or series and the investment of all or part of the
proceeds in shares of another Fund or series in the same family of
investment companies. |
| 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 |
0.00000000 |
0.00000000 |
|
Month 2 |
0.00000000 |
0.00000000 |
0.00000000 |
|
Month 3 |
0.00000000 |
0.00000000 |
0.00000000 |
Item B.7. Highly Liquid Investment Minimum information.
| a. If
applicable, provide the Fund's current Highly Liquid Investment
Minimum. |
—
|
| b. If
applicable, provide the number of days that the Fund's holdings in
Highly Liquid Investments fell below the Fund's Highly Liquid
Investment Minimum during the reporting period. |
—
|
| c. Did the
Fund's Highly Liquid Investment Minimum change during the reporting
period? |
☐ Yes ☐ No ☐ N/A |
Item B.8. Derivatives Transactions.
| For portfolio investments of open-end management investment
companies, provide the percentage of the Fund's Highly Liquid
Investments that it has 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. |
Item B.9. Derivatives Exposure for limited derivatives users.
| If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4]
program requirement and limit on fund leverage risk under rule
18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following
information: |
| a. Derivatives
exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]),
reported as a percentage of the Fund’s net asset value. |
—
|
| b. Exposure
from currency derivatives that hedge currency risks, as provided in
rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as
a percentage of the Fund's net asset value. |
—
|
| c. Exposure
from interest rate derivatives that hedge interest rate risks, as
provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)],
reported as a percentage of the Fund's net asset value. |
—
|
| d. The number
of business days, if any, in excess of the five-business-day period
described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)],
that the Fund’s derivatives exposure exceeded 10 percent of its net
assets during the reporting period. |
—
|
Item B.10. VaR information.
| For Funds subject to the limit on fund leverage risk described
in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following
information, as determined in accordance with the requirement under
rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the
applicable VaR test at least once each business day: |
| a. Median daily
VaR during the reporting period, reported as a percentage of the
Fund's net asset value. |
—
|
| b. For Funds
that were subject to the Relative VaR Test during the reporting
period, provide: |
|
| i. As
applicable, the name of the Fund’s Designated Index, or a statement
that the Fund's Designated Reference Portfolio is the Fund’s
Securities Portfolio. |
—
|
| ii. As
applicable, the index identifier for the Fund’s Designated
Index. |
—
|
| iii. Median VaR
Ratio during the reporting period, reported as a percentage of the
VaRof the Fund's Designated Reference Portfolio. |
—
|
| c. Backtesting
Results. Number of exceptions that the Fund identified as a result
of its backtesting of its VaR calculation model (as described in
rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the
reporting period. |
—
|
NPORT-P: Part C: Schedule of Portfolio Investments
| For each investment held by the Fund and its consolidated
subsidiaries, disclose the information requested in Part C. A Fund
may report information for securities in an aggregate amount not
exceeding five percent of its total assets as miscellaneous
securities in Part D in lieu of reporting those securities in Part
C, provided that the securities so listed are not restricted, have
been held for not more than one year prior to the end of the
reporting period covered by this report, and have not been
previously reported by name to the shareholders of the Fund or to
any exchange, or set forth in any registration statement,
application, or report to shareholders or otherwise made available
to the public. |
|
Schedule of Portfolio Investments Record: 1 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BFX72C8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2269000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2019410.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.906020955690
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
CAYMAN ISLANDS
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-02-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 2 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
MATTERHORN RE LTD
|
| b. LEI (if any)
of issuer. (1) |
549300QRZ77PO1BYWT39
|
| c. Title of the
issue or description of the investment. |
Matterhorn Re Ltd
|
| d. CUSIP (if
any). |
577092AQ2
|
| At least one of the following other identifiers: |
Item C.2. Amount of each investment.
| a. Balance |
250000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
218050.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.097829499402
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-03-24
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
12.55961900
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 3 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BF0YND0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1680000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1551900.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.696269663483
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-04-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 4 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BJP8GP8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1495000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
954109.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.428066983927
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
LUXEMBOURG
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-02-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 5 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMYMZT9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
520000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
533936.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.239553733515
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-06-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 6 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMW55T0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
390000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
396092.17000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.177709235076
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2030-04-23
|
| i. Coupon
category. (13) |
Variable
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 7 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BYWW6S1
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2316000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2242490.16000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.006107267909
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-04-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 8 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
BANK OF AMERICA CORP
|
| b. LEI (if any)
of issuer. (1) |
9DJT3UXIJIZJI4WXO774
|
| c. Title of the
issue or description of the investment. |
Bank of America Corp
|
| d. CUSIP (if
any). |
060505EL4
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BRSG6K0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
600000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
598500.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.268520776851
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 9 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
ANR Inc
|
| b. LEI (if any)
of issuer. (1) |
54930073NMZSTQ358I60
|
| c. Title of the
issue or description of the investment. |
ANR Inc
|
| d. CUSIP (if
any). |
03634H118
|
| At least one of the following other identifiers: |
| - Ticker (if
ISIN is not available). |
ANDD
|
Item C.2. Amount of each investment.
| a. Balance |
1819798.00000000
|
| b. Units |
Number of shares
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
0.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.000000
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Equity-common
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 10 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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). |
88167AAS0
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BQXJJN1
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1095000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1145643.75000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.514000250199
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
NETHERLANDS
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-09-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 11 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMFMWD1
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
380000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
405184.50000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.181788565928
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
LIBERIA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-06-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 12 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
CCO HLDGS LLC/CAP CORP
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
CCO Holdings LLC / CCO Holdings
Capital Corp
|
| d. CUSIP (if
any). |
1248EPCQ4
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMV1FZ5
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2500000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2099631.25000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.942012722390
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2032-02-01
|
| i. Coupon
category. (13) |
Fixed
|
| ii. Annualized
rate. |
4.75000000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 13 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
Thopas Re 2022
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
Thopas 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 |
XILS00393836
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
1500000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
24900.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.011171541092
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-12-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 14 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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). |
253651AH6
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMHDM87
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
0.72182000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
0.18000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.000000080758
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-10-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 15 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
BROWN BROTHERS HARRIMAN &
CO.
|
| b. LEI (if any)
of issuer. (1) |
5493006KMX1VFTPYPW14
|
| 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 |
MDJ2303210396062
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
1.00000000
|
| b. Units |
Number of contracts
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
-7267.04000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
-0.00326040305
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☐ Long ☐ Short ☒ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Derivative-foreign exchange
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
| a. Type of
derivative instrument (21) |
Forward
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including
a central counterparty). |
| Counterparty
Info 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. |
-635000.00000000
|
| Description of
currency sold. |
United Kingdom Pound
|
| ii. Amount and description of currency purchased. |
| Amount of
currency purchased. |
777401.93000000
|
| Description of
currency purchased. |
United States Dollar
|
| iii. Settlement
date. |
2023-06-26
|
| iv. Unrealized
appreciation or depreciation. (24) |
-7267.04000000
|
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 16 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
HERC HOLDINGS INC
|
| b. LEI (if any)
of issuer. (1) |
549300TP80QLITMSBP82
|
| c. Title of the
issue or description of the investment. |
Herc Holdings Inc
|
| d. CUSIP (if
any). |
42704LAA2
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BHWTW85
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
319000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
307835.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.138112102492
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-07-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 17 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKPX6T4
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
421000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
403956.01000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.181237396188
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-08-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 18 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BZ2YGN9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1210000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1182775.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.530659418279
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-05-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 19 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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
|
Item C.2. Amount of each investment.
| 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. |
0.011866904469
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2023-07-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 20 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
TREASURY BILL
|
| b. LEI (if any)
of issuer. (1) |
254900HROIFWPRGM1V77
|
| c. Title of the
issue or description of the investment. |
United States Treasury Bill
|
| d. CUSIP (if
any). |
912796Z93
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BPCK734
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
6500000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
6499170.34000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
2.915893514760
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
U.S. Treasury
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2023-04-04
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 21 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
MCGRAW-HILL EDUCATION
|
| b. LEI (if any)
of issuer. (1) |
254900U6YJ9QZ4IQOR26
|
| 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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BN72CG9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
3530000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2894600.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.298680435543
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-08-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 22 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMXDS05
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
755000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
656863.20000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.294705792395
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-03-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 23 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
RACKSPACE TECHNOLOGY
|
| b. LEI (if any)
of issuer. (1) |
549300QTYCKLMFSE8I97
|
| c. Title of the
issue or description of the investment. |
Rackspace Technology Global Inc
|
| d. CUSIP (if
any). |
750098AA3
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BN7N7Q7
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1350000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
516121.90000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.231561325877
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-12-01
|
| i. Coupon
category. (13) |
Fixed
|
| ii. Annualized
rate. |
5.37500000
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 24 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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). |
897051AC2
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BNQPRV9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2000000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1674800.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.751409518914
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-03-15
|
| i. Coupon
category. (13) |
Fixed
|
| ii. Annualized
rate. |
4.62500000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 25 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Ticker (if
ISIN is not available). |
MYTHLD
|
Item C.2. Amount of each investment.
| a. Balance |
129055.00000000
|
| b. Units |
Number of shares
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
108083.56000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.048492366743
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Equity-preferred
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 26 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
USA COM PART/USA COM FIN
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
USA Compression Partners LP / USA
Compression Finance Corp
|
| d. CUSIP (if
any). |
91740PAF5
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKWC8B0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
703000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
671772.74000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.301395050981
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-09-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 27 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
GULLANE RE 2023
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
GULLANE RE 2023
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
XILS00500499
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
1063659.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1102047.84000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.494440671886
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-12-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 28 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BHBFCH3
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1524000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1104900.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.495720311349
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2066-11-01
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
7.83107000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 29 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKPSFY7
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
580000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
550396.80000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.246938974623
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-04-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 30 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BPBK779
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
230000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
134550.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.060366700961
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2030-01-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 31 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Ticker (if
ISIN is not available). |
AMPY
|
Item C.2. Amount of each investment.
| a. Balance |
21.00000000
|
| b. Units |
Number of shares
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
144.27000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.000064727639
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Equity-common
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☒ 1 ☐ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 32 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKDVCH0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
54000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1803.60000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.000809196446
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2023-10-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 33 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
HANESBRANDS INC
|
| b. LEI (if any)
of issuer. (1) |
GX5LWVWZLL5S4W1L2F20
|
| c. Title of the
issue or description of the investment. |
Hanesbrands Inc
|
| d. CUSIP (if
any). |
410345AQ5
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BNC3FR9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
870000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
890662.50000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.399601313971
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2031-02-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 34 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKVKXB0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
4155000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
3884925.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.742995954900
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-01-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 35 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BG0RZD0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1350000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1469255.76000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.659190807131
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
ABS-mortgage backed security
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2047-02-25
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
15.34529000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 36 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
Item C.2. Amount of each investment.
| a. Balance |
120000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
107005.72000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.048008787070
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
ABS-mortgage backed security
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2041-11-25
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
10.75979000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 37 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMCTV83
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1720000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1506819.83000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.676044162616
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-10-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 38 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
B1TSCP0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
462359.68000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
455424.28000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.204328958166
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-12-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 39 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
LOTTOMATICA SPA/ROMA
|
| b. LEI (if any)
of issuer. (1) |
81560046335277E43118
|
| c. Title of the
issue or description of the investment. |
Lottomatica SpA/Roma
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
Item C.2. Amount of each investment.
| a. Balance |
755000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
Euro Member Countries
|
| e. Value.
(4) |
866856.00000000
|
| f. Exchange
rate. |
0.92208390
|
| g. Percentage
value compared to net assets of the Fund. |
0.388920378509
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
ITALY
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-09-30
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 40 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
INTERNATIONAL PETROLEUM
|
| b. LEI (if any)
of issuer. (1) |
54930025D80LU0SMR645
|
| c. Title of the
issue or description of the investment. |
International Petroleum Corp
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BNGFYJ6
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
833000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
774690.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.347569524843
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
CANADA (FEDERAL LEVEL)
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-02-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 41 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
ASCENT RESOURCES/ARU FIN
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
Ascent Resources Utica Holdings LLC /
ARU Finance Corp
|
| d. CUSIP (if
any). |
04364VAU7
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BNHTSC8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1105000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
975162.50000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.437512768681
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-06-30
|
| i. Coupon
category. (13) |
Fixed
|
| ii. Annualized
rate. |
5.87500000
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 42 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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
|
Item C.2. Amount of each investment.
| 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
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2024-12-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 43 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
THOPAS RE 2023
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
THOPAS RE 2023
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
XILS00500687
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
1596147.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1665419.78000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.747201024408
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-12-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 44 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BFZ6773
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1275606.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1102846.73000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.494799098892
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
LUXEMBOURG
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-10-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 45 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKF9DX5
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2500000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
654191.73000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.293507220633
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-07-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 46 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
ALLEGIANT TRAVEL CO
|
| b. LEI (if any)
of issuer. (1) |
549300JM9OZXOHWL2K18
|
| c. Title of the
issue or description of the investment. |
Allegiant Travel Co
|
| d. CUSIP (if
any). |
01748XAD4
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BM8WZQ2
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
420000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
418110.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.187587672529
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-08-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 47 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
RAND PARENT LLC
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
Rand Parent LLC
|
| d. CUSIP (if
any). |
753272AA1
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMZMHT2
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1225000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1151500.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.516627693473
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2030-02-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 48 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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). |
40054JAA7
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BNLYCX8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
3255000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2861624.40000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.283885725887
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
MEXICO
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-03-17
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 49 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
SCC POWER PLC
|
| b. LEI (if any)
of issuer. (1) |
529900IYGYC6VSDSDF37
|
| c. Title of the
issue or description of the investment. |
SCC Power PLC
|
| d. CUSIP (if
any). |
78397YAC6
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMCH875
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
200769.44990200
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
12626.89000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.005665133353
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND
NORTHERN IRELAND
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2032-05-17
|
| i. Coupon
category. (13) |
Fixed
|
| ii. Annualized
rate. |
4.00000000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 50 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
Item C.2. Amount of each investment.
| a. Balance |
30000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
140471.96000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.063023625438
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-12-01
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
4.64871300
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 51 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
PETROQUEST ENERGY INC
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
PETROQUEST ENERGY INC
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
| - Ticker (if
ISIN is not available). |
QWST
|
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
15507846
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
8026.00000000
|
| b. Units |
Number of shares
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
401.30000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.000180045760
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Equity-common
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 52 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
OWENS & MINOR INC
|
| b. LEI (if any)
of issuer. (1) |
549300LMT5KQQXCEZ733
|
| c. Title of the
issue or description of the investment. |
Owens & Minor Inc
|
| d. CUSIP (if
any). |
690732AG7
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMZM2Z3
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2750000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2361562.50000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.059529819686
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2030-04-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 53 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
COMMSCOPE INC
|
| b. LEI (if any)
of issuer. (1) |
549300Z6K4JXMFE8QY54
|
| c. Title of the
issue or description of the investment. |
CommScope Inc
|
| d. CUSIP (if
any). |
203372AX5
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BLDBLL4
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1910000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1592023.20000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.714271188686
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-09-01
|
| i. Coupon
category. (13) |
Fixed
|
| ii. Annualized
rate. |
4.75000000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 54 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BJLKP95
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1759167.49000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1554747.04000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.697547005827
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
LUXEMBOURG
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2032-01-13
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 55 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BJLPYT3
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1910000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1913686.30000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.858587354929
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-11-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 56 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Ticker (if
ISIN is not available). |
DGCXX
|
Item C.2. Amount of each investment.
| a. Balance |
557397.43000000
|
| b. Units |
Number of shares
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
557397.43000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.250079851158
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Short-term investment vehicle (e.g.,
money market fund, liquidity pool, or other cash management
vehicle)
|
| b. Issuer type.
(7) |
Registered fund
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☒ 1 ☐ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 57 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMXXLD9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1060000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
970361.02000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.435358554580
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-06-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 58 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMYMZS8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
750000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
762337.50000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.342027498283
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-06-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 59 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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). |
460599AC7
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BWV0NJ2
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
208000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
210179.84000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.094298502782
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND
NORTHERN IRELAND
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-02-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 60 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
SRS DISTRIBUTION INC
|
| b. LEI (if any)
of issuer. (1) |
549300ZQ3XP75BCYM468
|
| c. Title of the
issue or description of the investment. |
SRS Distribution Inc
|
| d. CUSIP (if
any). |
78471RAC0
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMXXL84
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
275000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
232020.25000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.104097339641
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-07-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 61 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMCTZT2
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
790000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
237000.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.106331535695
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
LUXEMBOURG
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-02-10
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 62 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
MOHEGAN TRIBAL GAMING AU
|
| b. LEI (if any)
of issuer. (1) |
549300UB083Z2NRDHC48
|
| c. Title of the
issue or description of the investment. |
Mohegan Tribal Gaming Authority
|
| d. CUSIP (if
any). |
608328BH2
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMYW168
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1880000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1720200.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.771778513515
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-02-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 63 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
Ballylifin Re 2022
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
Ballylifin 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 |
XILS00444423
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
250000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1150.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.000515954709
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2028-05-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 64 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMGZ8S6
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
280000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
Euro Member Countries
|
| e. Value.
(4) |
270257.40000000
|
| f. Exchange
rate. |
0.92208390
|
| g. Percentage
value compared to net assets of the Fund. |
0.121252676687
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
PANAMA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-03-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 65 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BNH5SJ3
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1801000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1761236.73000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.790189899679
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2044-06-24
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 66 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BYXH328
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1924000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1923615.20000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.863042018156
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-02-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 67 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
PROFRAC HOLDINGS II LLC
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
ProFrac Holdings II LLC
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BL3873504
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
4280551.07180000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
4248446.94000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.906092352112
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Loan
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-03-04
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
12.09906000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 68 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
JPMORGAN CHASE BANK, NATIONAL
ASSOCIATION
|
| b. LEI (if any)
of issuer. (1) |
7H6GLXDRUGQFU57RNE97
|
| c. Title of the
issue or description of the investment. |
CDS UNITED AIRLINES HOLDINGS,
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 |
SW1097991
|
| Description of
other unique identifier. |
INTERNAL
|
Item C.2. Amount of each investment.
| a. Balance |
1.00000000
|
| b. Units |
Number of contracts
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
-3560.14000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
-0.00159727912
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☐ Long ☐ Short ☒ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Derivative-credit
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
| a. Type of
derivative instrument (21) |
Swap
|
| b. Counterparty. |
| i. Provide the name and LEI (if any) of counterparty (including
a central counterparty). |
| Counterparty
Info Record |
Name
of counterparty |
LEI
(if any) of counterparty |
|
#1 |
JPMORGAN CHASE BANK, NATIONAL ASSOCIATION |
7H6GLXDRUGQFU57RNE97 |
| 3. The reference instrument is neither a derivative or an index
(28) |
| Name of
issuer. |
UNITED AIRLINES HOLDINGS
|
| Title of
issue. |
United Airlines Holdings Inc
|
| At least one of the following other identifiers: |
| - ISIN (if
CUSIP is not available). |
US910047AH22
|
| - Other
identifier (if CUSIP, ISIN, and ticker are not available). |
BYPBX40
|
| If other
identifier provided, indicate the type of identifier used. |
SEDOL
|
| Custom swap
Flag |
☒ Yes ☐ No |
| 1. Description and terms of payments to be received from
another party. |
| Receipts: Reference Asset, Instrument or Index. |
| Receipts:
fixed, floating or other. |
☒ Fixed ☐ Floating ☐ Other |
| Receipts: Fixed
rate. |
5.00000000
|
| Receipts: Base
currency. |
United States Dollar
|
| Receipts:
Amount. |
N/A
|
| 2. Description and terms of payments to be paid to another
party. |
| Payments: Reference Asset, Instrument or Index. |
| Payments:
fixed, floating or other. |
☐ Fixed ☐ Floating ☒ Other |
| Description of
Other Payments |
Default Event
|
| ii. Termination
or maturity date. |
2027-06-20
|
| iii. Upfront payments or receipts |
| Upfront
payments. |
0.00000000
|
| ISO Currency
Code. |
United States Dollar
|
| Upfront
receipts. |
-38734.00000000
|
| ISO Currency
Code. |
United States Dollar
|
| iv. Notional
amount. |
433000.00000000
|
| ISO Currency
Code. |
USD
|
| v. Unrealized
appreciation or depreciation. (24) |
35173.86000000
|
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 69 |
Item C.1. Identification of investment.
| 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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BJQWYJ9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
1600000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
Euro Member Countries
|
| e. Value.
(4) |
1661366.30000000
|
| f. Exchange
rate. |
0.92208390
|
| g. Percentage
value compared to net assets of the Fund. |
0.745382405196
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
PORTUGAL
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2024-12-02
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 70 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
Item C.2. Amount of each investment.
| a. Balance |
1159439.91000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1065391.36000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.477994512343
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
ABS-mortgage backed security
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-10-25
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 71 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMWC6B0
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
215000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
196187.50000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.088020751726
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
PANAMA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2026-03-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 72 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
Item C.2. Amount of each investment.
| a. Balance |
1500000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
1417975.65000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.636183664317
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
ABS-mortgage backed security
|
| b. Issuer type.
(7) |
U.S. government sponsored
entity
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2029-08-25
|
| i. Coupon
category. (13) |
Floating
|
| ii. Annualized
rate. |
11.56943000
|
| c. Currently in
default? |
☐ Yes ☒ No |
| d. Are there
any interest payments in arrears? (14) |
☐ Yes ☒ No |
| e. Is any
portion of the interest paid in kind? (15) |
☐ Yes ☒ No |
| f. For convertible securities, also provide: |
| i. Mandatory
convertible? |
☐ Yes ☐ No |
| ii. Contingent
convertible? |
☐ Yes ☐ No |
| iii. Description of the reference instrument. (16) |
| Reference
Instrument Record |
Name
of issuer |
Title
of issue |
Currency in which denominated |
|
— |
— |
— |
— |
| iv. Conversion ratio per US$1000 notional. (17) |
| Bond
Currency Record |
Conversion
ratio per 1000 units |
ISO
Currency Code |
|
— |
— |
— |
| v. Delta (if
applicable). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 73 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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
|
Item C.2. Amount of each investment.
| a. Balance |
244914.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
42389.91000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.019018498853
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
BERMUDA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☒ Yes ☐ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☐ 2 ☒ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2024-12-31
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 74 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BLD49V9
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
205000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
207487.78000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.093090693187
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-05-01
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 75 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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). |
253651AD5
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BMGK0B8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
180000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
91350.00000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.040984750150
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-07-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 76 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
RUSSIAN FEDERATION
|
| b. LEI (if any)
of issuer. (1) |
5493004EHVGF71PDBU58
|
| c. Title of the
issue or description of the investment. |
Russian Foreign Bond - Eurobond
|
| d. CUSIP (if
any). |
000000000
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
4230814
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
382800.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
249059.25000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.111741993804
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
RUSSIAN FEDERATION
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2030-03-31
|
| i. Coupon
category. (13) |
Variable
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 77 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
PROVIDENT FDG/PFG FIN
|
| b. LEI (if any)
of issuer. (1) |
N/A
|
| c. Title of the
issue or description of the investment. |
Provident Funding Associates LP / PFG
Finance Corp
|
| d. CUSIP (if
any). |
74387UAJ0
|
| At least one of the following other identifiers: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BDGLXK8
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
3415000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
3017280.97000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
1.353722021791
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2025-06-15
|
| 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). |
|
Item C.10. Repurchase and reverse repurchase agreements.
Item C.11. Derivatives.
Item C.12. Securities lending.
| a. Does any
amount of this investment represent reinvestment of cash collateral
received for loaned securities? |
☐ Yes ☒ No |
| b. Does any
portion of this investment represent that is treated as a Fund
asset and received for loaned securities? |
☐ Yes ☒ No |
| c. Is any
portion of this investment on loan by the Fund? |
☐ Yes ☒ No |
|
Schedule of Portfolio Investments Record: 78 |
Item C.1. Identification of investment.
| a. Name of
issuer (if any). |
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: |
| - Other unique
identifier (if ticker and ISIN are not available). Indicate the
type of identifier used |
BKKF781
|
| Description of
other unique identifier. |
SEDOL
|
Item C.2. Amount of each investment.
| a. Balance |
2062000.00000000
|
| b. Units |
Principal amount
|
| c. Description
of other units. |
|
| d. Currency.
(3) |
United States Dollar
|
| e. Value.
(4) |
2027172.82000000
|
| f. Exchange
rate. |
|
| g. Percentage
value compared to net assets of the Fund. |
0.909503793546
|
Item C.3. Payoff profile.
| a. Payoff
profile. (5) |
☒ Long ☐ Short ☐ N/A |
Item C.4. Asset and issuer type.
| a. Asset type.
(6) |
Debt
|
| b. Issuer type.
(7) |
Corporate
|
Item C.5. Country of investment or issuer.
| a. ISO country
code. (8) |
UNITED STATES OF AMERICA
|
| b. Investment
ISO country code. (9) |
|
Item C.6. Is the investment a Restricted Security?
| a. Is the
investment a Restricted Security? |
☐ Yes ☒ No |
Item C.7. Liquidity classification information.
| a. Liquidity classification information. (10) |
Item C.8. Fair value level.
| a. Level within
the fair value hierarchy (12) |
☐ 1 ☒ 2 ☐ 3 ☐ N/A |
Item C.9. Debt securities.
| For debt securities, also provide: |
| a. Maturity
date. |
2027-10-15
|
| 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 |
|
— |
— |
— |