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

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

FORM NPORT-P
Monthly Portfolio Investments Report

NPORT-P: Filer Information

Confidential ☐
Filer CIK
0001318025
Filer CCC
********
Filer Investment Company Type
Is this a LIVE or TEST Filing? ☐ LIVE ☐ TEST
Would you like a Return Copy? ☐
Is this an electronic copy of an official filing submitted in paper format? ☐

Submission Contact Information

Name
Phone
E-Mail Address

Notification Information

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

NPORT-P: Part A: General Information

Item A.1. Information about the Registrant.

a. Name of Registrant
PIMCO Global StocksPLUS & Income Fund
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-21734
c. CIK number of Registrant
0001318025
d. LEI of Registrant
CW3W37V8QY7DVX87PQ66
e. Address and telephone number of Registrant:
i. Street Address 1
1633 Broadway
ii. Street Address 2
iii. City
New York
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
10019
vii. Telephone number
(844) 337-4626

Item A.2. Information about the Series.

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

Item A.3. Reporting period.

a. Date of fiscal year-end.
2023-06-30
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.
191663634.650000
b. Total liabilities.
110002313.080000
c. Net assets.
81661321.570000

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

a. Assets attributable to miscellaneous securities reported in Part D.
0.000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
0.000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
27790361.890000
Controlled companies.
0.000000
Other affiliates.
0.000000
Others.
0.000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.000000
Controlled companies.
0.000000
Other affiliates.
0.000000
Others.
0.000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
0.000000
(ii) On a standby commitment basis:
0.000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
0.000000
f. Cash and cash equivalents not reported in Parts C and D.
3156530.700000

Item B.3. Portfolio level risk metrics.

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

Currency Metric RecordISO Currency code3 month1 year5 years10 years30 years
#1 Argentina Peso
Interest Rate Risk (DV01)
0.0130490.9419910.2656900.0000000.000000
Interest Rate Risk (DV100)
0.91090692.80191826.1749000.0000000.000000
#2 Mexico Peso
Interest Rate Risk (DV01)
-1.460421-28.595650-50.863215-13.6902320.000000
Interest Rate Risk (DV100)
-145.237933-2836.405311-4899.301706-1314.5682580.000000
#3 Euro Member Countries
Interest Rate Risk (DV01)
72.960960340.6304061565.361068-574.286419-504.385277
Interest Rate Risk (DV100)
7223.51216738974.912959164138.085000-66801.600081-48058.329986
#4 United Kingdom Pound
Interest Rate Risk (DV01)
0.0000000.0000000.000000-294.365355-652.147144
Interest Rate Risk (DV100)
4.4129150.0000000.000000-25362.467268-56188.883433
#5 Canada Dollar
Interest Rate Risk (DV01)
9.277346363.0392894.737396-497.311936-178.842972
Interest Rate Risk (DV100)
920.16784136227.958994512.588018-44966.437256-16170.798828
#6 Peru Sol
Interest Rate Risk (DV01)
0.0000003.1357890.3291710.0000000.000000
Interest Rate Risk (DV100)
0.000000310.62155132.6066820.0000000.000000
#7 Brazil Real
Interest Rate Risk (DV01)
0.000000126.66577660.2723170.0000000.000000
Interest Rate Risk (DV100)
0.00000012480.3501275911.4978950.0000000.000000
#8 United States Dollar
Interest Rate Risk (DV01)
-1744.1373915764.42486726954.7153483750.300242-5817.819765
Interest Rate Risk (DV100)
-178595.075090599888.0042022796312.130954476345.294014-470058.251824

c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Credit Spread Risk3 month1 year5 years10 years30 years
Investment grade -203.1870002903.26000022030.311200603.910100-9876.522200
Non-Investment grade 6078.4085005234.2141008510.3978001863.029500744.686200

For purposes of Item B.3., calculate value as the sum of the absolute values of:
(i) the value of each debt security,
(ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate;
(iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and
(iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii).

Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity.

Item B.4. Securities lending.

a. For each borrower in any securities lending transaction, provide the following information:

Borrower Information RecordName of borrowerLEI (if any) of borrowerAggregate value of all securities on loan to the borrower
— — — —

b. Did any securities lending counterparty provide any non-cash collateral? ☐ Yes ☒ No

Item B.5. Return information.

a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable.

Monthly Total Return Record Monthly total returns of the Fund for each of the preceding three months Class identification number(s) (if any) of the Class(es) for which returns are reported
Month 1 Month 2 Month 3
#119.36904-8.4016960.541103

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

Asset category Instrument type Month 1 Month 2 Month 3
Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation)
Commodity Contracts — — — — — —
Credit Contracts4974.65000054760.02000092597.450000-138285.3700003576.690000-16241.960000
Forward — — — — — —
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap 4974.65000054760.02000092597.450000-138285.3700003576.690000-16241.960000
Warrant — — — — — —
Other — — — — — —
Equity Contracts139219.9700004197093.290000-401624.970000-1006576.020000-541629.5200001402435.000000
Forward — — — — — —
Future 0.0000002419282.00000061857.570000-1212815.840000-1187871.3200002455408.720000
Option 141368.520000-1325235.780000-485340.5400001493303.400000499381.260000-1600638.640000
Swaption — — — — — —
Swap -2148.5500003035179.07000021858.000000-1026836.440000146860.540000710941.330000
Warrant 0.00000067868.0000000.000000-260227.1400000.000000-163276.410000
Other — — — — — —
Foreign Exchange Contracts64204.910000-8783.810000-664.720000421709.1900003310.640000-532170.430000
Forward 64204.910000-8783.810000-664.720000421709.1900003310.640000-532170.430000
Future — — — — — —
Option — — — — — —
Swaption — — — — — —
Swap — — — — — —
Warrant — — — — — —
Other — — — — — —
Interest Rate Contracts-2259.560000-296772.5700000.000000146629.0500000.000000-187128.650000
Forward — — — — — —
Future 0.000000-17012.5000000.00000044837.5000000.000000-43943.750000
Option — — — — — —
Swaption — — — — — —
Swap -2259.560000-279760.0700000.000000101791.5500000.000000-143184.900000
Warrant — — — — — —
Other — — — — — —
Other Contracts — — — — — —

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

MonthMonthly net realized gain(loss)Monthly net change in unrealized appreciation (or depreciation)
Month 1 291293.2700002959247.660000
Month 2 -693388.420000-1295296.000000
Month 3 -260138.980000-696149.580000

Item B.6. Flow information.

a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies.

MonthTotal net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions)Total net asset value of shares sold in connection with reinvestments of dividends and distributionsTotal net asset value of shares redeemed or repurchased, including exchanges
Month 1 0.00000082574.2000000.000000
Month 2 0.00000081169.1600000.000000
Month 3 0.00000083057.2100000.000000

Item B.7. Highly Liquid Investment Minimum information.

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

Item B.8. Derivatives Transactions.

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

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

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

Item B.10. VaR information.

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

NPORT-P: Part C: Schedule of Portfolio Investments

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS CAD 3.30000 06/19/14-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ1PCQJ5N3S1

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
-73438.530000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
-0.0899306

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.300000
Receipts: Base currency.
Canada Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
CAD-BA-CDOR 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
Canada Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-06-19
iii. Upfront payments or receipts
Upfront payments.
368749.950000
ISO Currency Code.
Canada Dollar
Upfront receipts.
0.000000
ISO Currency Code.
Canada Dollar
iv. Notional amount.
4900000.000000
ISO Currency Code.
CAD
v. Unrealized appreciation or depreciation. (24)
-442188.480000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 2

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS CAD 3.50000 06/20/14-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU006KI3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
2941.460000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
0.0036020

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
CAD-BA-CDOR 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
Canada Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
3.500000
Payments: Base currency
Canada Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2044-06-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Canada Dollar
Upfront receipts.
-106837.880000
ISO Currency Code.
Canada Dollar
iv. Notional amount.
600000.000000
ISO Currency Code.
CAD
v. Unrealized appreciation or depreciation. (24)
109779.340000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR -0.15000 03/18/20-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ9VJ2ZM94X0

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
274846.340000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3365686

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2030-03-18
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-18020.100000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
1300000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
292866.440000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.15000 06/17/20-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ21FNF0P871

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
607693.230000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.7441629

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00Y8Z8-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

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

ii. Termination or maturity date.
2030-06-17
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
-131841.050000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
3000000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
739534.280000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.25000 03/18/20-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZT0LSBDRCN7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-192171.550000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.2353275

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00W8Q2-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

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

ii. Termination or maturity date.
2050-03-18
iii. Upfront payments or receipts
Upfront payments.
48092.340000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
400000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-240263.890000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.25000 09/21/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZC109X5Y4L2

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
192172.770000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.2353290

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01CCZ0-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

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

ii. Termination or maturity date.
2032-09-21
iii. Upfront payments or receipts
Upfront payments.
72450.410000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
800000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
119722.360000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2004-B
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A2
d. CUSIP (if any).
05946XHW6
At least one of the following other identifiers:
- ISIN
US05946XHW65

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
189691.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
132782.060000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1626009

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-12-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.00024
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.50000 06/17/20-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7X186XV988

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-433322.820000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.5306341

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00Y904-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
0.500000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Euribor 6 Month ACT/360
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
6
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
6
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2050-06-17
iii. Upfront payments or receipts
Upfront payments.
170987.580000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
1000000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-604310.400000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.65000 02/26/19-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZPKVXHWZ787

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-852515.220000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-1.0439645

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00SUE3-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
0.650000
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Euribor 6 Month ACT/360
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
6
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
6
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2029-02-26
iii. Upfront payments or receipts
Upfront payments.
6098.860000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
6100000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
-858614.080000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 0.83000 12/09/42-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZDX751HFTM2

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
70464.900000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0862892

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01NDJ1-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.830000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-12-09
iii. Upfront payments or receipts
Upfront payments.
11378.550000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
1600000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
59086.350000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS EUR 1.25000 08/19/19-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZPMHCXRZWQ5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
731821.220000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.8961663

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Euribor 6 Month ACT/360
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU00SQI9-Euribor 6 Month ACT/360
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
Euribor 6 Month ACT/360
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
6
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
6
Receipts: Base currency.
Euro Member Countries
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.250000
Payments: Base currency
Euro Member Countries
Payments: Amount
0.000000

ii. Termination or maturity date.
2049-08-19
iii. Upfront payments or receipts
Upfront payments.
11208.560000
ISO Currency Code.
Euro Member Countries
Upfront receipts.
0.000000
ISO Currency Code.
Euro Member Countries
iv. Notional amount.
2700000.000000
ISO Currency Code.
EUR
v. Unrealized appreciation or depreciation. (24)
720612.660000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2006-B
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 3A1
d. CUSIP (if any).
058928AF9
At least one of the following other identifiers:
- ISIN
US058928AF91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
123283.940000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
107562.530000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1317178

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.25698
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 7.49500 01/26/22-10Y* CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01FRC8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
624.080000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0007642

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
7.495000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-01-14
iii. Upfront payments or receipts
Upfront payments.
820.630000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
200000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
-196.550000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 7.49750 01/27/22-10Y* CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01FSC7
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
2485.530000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0030437

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
7.497500
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-01-15
iii. Upfront payments or receipts
Upfront payments.
3285.040000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
800000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
-799.510000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.41000 04/06/22-5Y* CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HU55
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
231.520000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0002835

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.410000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-03-31
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
300000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
231.520000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.66000 04/07/22-2Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HVZ8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
1672.080000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0020476

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.660000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-04-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
1100000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
1672.080000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 17

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.67500 04/06/22-2Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HU22
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
4090.530000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0050091

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.675000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-04-03
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
2700000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
4090.530000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.70100 04/13/22-10Y* CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01I0P2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
-540.730000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
-0.0006622

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.701000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-03-31
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
500000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
-540.730000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.73000 04/12/22-5Y* CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HYT9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
52.360000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0000641

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.730000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-04-06
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
400000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
52.360000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.73200 04/12/22-10Y* CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HZE1
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
-237.530000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
-0.0002909

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.732000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-03-30
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
200000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
-237.530000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS MXN 8.75000 04/08/22-2Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HX86
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
1467.240000
f. Exchange rate.
18.020000
g. Percentage value compared to net assets of the Fund.
0.0017967

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
MEXICO INTERBANK TIIE 28 DAY
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MEXICO INTERBANK TIIE 28 DAY
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
30
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
28
Receipts: Base currency.
Mexico Peso
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
8.750000
Payments: Base currency
Mexico Peso
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-04-05
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Mexico Peso
Upfront receipts.
0.000000
ISO Currency Code.
Mexico Peso
iv. Notional amount.
1000000.000000
ISO Currency Code.
MXN
v. Unrealized appreciation or depreciation. (24)
1467.240000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANC OF AMERICA FUNDING CORP 2007-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA1B
d. CUSIP (if any).
05951FAB0
At least one of the following other identifiers:
- ISIN
US05951FAB04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
95316.140000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
85312.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1044712

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.8456
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.25000 06/16/21-3Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU017AN0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
166099.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2034002

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2024-06-16
iii. Upfront payments or receipts
Upfront payments.
8175.180000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
3000000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
157924.150000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 0.75000 06/16/21-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZZSH81H8DX1

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-435586.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5334061

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2031-06-16
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-210913.320000
ISO Currency Code.
United States Dollar
iv. Notional amount.
2229000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-224673.180000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.00000 12/16/20-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZTFF5LYN9B3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
67217.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0823121

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.000000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2030-12-16
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-15098.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
82315.160000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.50000 12/15/21-7Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ7ST5LFVS85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
131496.650000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1610268

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.500000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2028-12-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-14541.110000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1250000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
146037.760000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 1.75000 01/15/20-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ2VCVGH6932

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
68347.260000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0836960

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2030-01-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-6919.170000
ISO Currency Code.
United States Dollar
iv. Notional amount.
600000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
75266.430000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.00000 02/12/20-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZW963DK9TC1

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
427017.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5229133

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2030-02-12
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-77685.200000
ISO Currency Code.
United States Dollar
iv. Notional amount.
4400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
504703.140000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 2.00000 03/10/20-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZRLQ39STG58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
48143.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0589551

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

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

ii. Termination or maturity date.
2030-03-10
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-474.150000
ISO Currency Code.
United States Dollar
iv. Notional amount.
500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
48617.650000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.00000 06/19/19-5Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZKBMPQHBHJ3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
66264.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0811461

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
3
Receipts: Floating Rate Tenor.
Month
Receipts: Floating Rate Tenor Unit.
3
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
3.000000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-06-19
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-72669.620000
ISO Currency Code.
United States Dollar
iv. Notional amount.
4400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
138934.600000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IRS USD 3.00000 12/19/18-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZ6KGTJCVTX3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-91960.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1126115

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

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

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
USD-LIBOR-BBA-Bloomberg 3M
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Month
Payment: Floating Rate Reset Dates Unit.
3
Payment: Floating Rate Tenor.
Month
Payment: Floating Rate Tenor Unit.
3
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2048-12-19
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-5666.330000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1900000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-86293.710000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875
d. CUSIP (if any).
ACI1T7K79
At least one of the following other identifiers:
- ISIN
XS2270393379

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
279911.920000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3427717

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-01-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 33

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625
d. CUSIP (if any).
ACI1J7WJ1
At least one of the following other identifiers:
- ISIN
XS2110110686

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
739000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
732607.670000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.8971293

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR GBP SONIO/0.75000 09/21/22-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZQ7991R2RY6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
352517.760000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.4316827

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

2. The reference instrument is an index or custom basket. (26)
Index name.
SONIA O/N Deposit Rates Swap
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
SONIA O/N Deposit Rates Swap
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United Kingdom Pound
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
0.750000
Payments: Base currency
United Kingdom Pound
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-09-21
iii. Upfront payments or receipts
Upfront payments.
122802.250000
ISO Currency Code.
United Kingdom Pound
Upfront receipts.
0.000000
ISO Currency Code.
United Kingdom Pound
iv. Notional amount.
600000.000000
ISO Currency Code.
GBP
v. Unrealized appreciation or depreciation. (24)
229715.510000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625
d. CUSIP (if any).
BJSF9FII4
At least one of the following other identifiers:
- ISIN
XS2055091784

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
619736.380000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.7589105

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-09-24
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR
d. CUSIP (if any).
ACI0ZY1X9
At least one of the following other identifiers:
- ISIN
XS1752894292

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
91331.160000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1118414

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.677
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.00000 06/15/22-5Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZV1KR773RK9

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2911825.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-3.5657342

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01D6C6-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-06-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-1032106.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
25500000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-1879719.670000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.50000 06/15/22-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZNQ1FQD6KF4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1588538.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9452771

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01D6S1-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.500000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-06-15
iii. Upfront payments or receipts
Upfront payments.
467729.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
5400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
1120809.970000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/30 VAR
d. CUSIP (if any).
ACI1J42S1
At least one of the following other identifiers:
- ISIN
XS2106849727

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
390000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
378631.820000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.4636611

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.75000 06/15/22-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZHW38T7M2J6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-27980.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0342637

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01H652-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.750000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2032-06-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-9262.620000
ISO Currency Code.
United States Dollar
iv. Notional amount.
220000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-18717.570000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.75000 06/15/22-30Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZNQ1FQD6KF4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
220470.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2699820

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01H637-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.750000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-06-15
iii. Upfront payments or receipts
Upfront payments.
147074.830000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
900000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
73396.030000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.75000 06/15/22-30Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZNQ1FQD6KF4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1245385.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.5250621

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01H629-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
1.750000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2052-06-15
iii. Upfront payments or receipts
Upfront payments.
565522.020000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
5100000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
679863.860000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/1.75000 06/15/22-7Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZZYRLDWJ296

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-33399.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0409003

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01H5T1-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
1.750000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2029-06-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-36534.060000
ISO Currency Code.
United States Dollar
iv. Notional amount.
340000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
3134.320000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 07/29 10.5
d. CUSIP (if any).
ACI1DBG64
At least one of the following other identifiers:
- ISIN
XS2031926731

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
634000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
667805.210000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.8177742

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI S SUBORDINATED REGS 09/30 VAR
d. CUSIP (if any).
ACI1R35P7
At least one of the following other identifiers:
- ISIN
XS2228919739

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
194758.830000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.2384958

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-09-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.30000 01/17/24-2Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01KK34
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5585.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0068395

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01KK34-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.300000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2026-01-17
iii. Upfront payments or receipts
Upfront payments.
137.130000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
300000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
5448.090000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.35000 01/17/24-1Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01KM73
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23382.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0286331

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01KM73-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.350000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-17
iii. Upfront payments or receipts
Upfront payments.
208.470000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
1900000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
23173.690000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 48

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/2.45000 12/20/23-1Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01KK26
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
45625.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0558711

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01KK26-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
1
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Payments: Fixed rate.
2.450000
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2024-12-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-292.800000
ISO Currency Code.
United States Dollar
iv. Notional amount.
3700000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
45917.870000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/3.00000 06/21/23-10Y CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZCTWTN8B7B6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-377.890000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0004628

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01NXR1-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2033-06-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-116.870000
ISO Currency Code.
United States Dollar
iv. Notional amount.
30000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-261.020000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFR USD SOFR/3.00000 06/21/23-10Y LCH
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZCTWTN8B7B6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-118.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0001453

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
USD-SOFR-COMPOUND
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01O3G6-USD-SOFR-COMPOUND
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
3.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
United States SOFR Secured Overnight Financing Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2033-06-21
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-122.480000
ISO Currency Code.
United States Dollar
iv. Notional amount.
10000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
3.840000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
BANCO DE CREDITO DEL PERU SA
b. LEI (if any) of issuer. (1)
549300EQYQ8SCQZ4BY14
c. Title of the issue or description of the investment.
BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65
d. CUSIP (if any).
05971U2B2
At least one of the following other identifiers:
- ISIN
US05971U2B27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
25034.550000
f. Exchange rate.
3.762800
g. Percentage value compared to net assets of the Fund.
0.0306566

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-09-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.65
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.14 03/29/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HMJ4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1617.080000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0019802

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HMJ4-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.140000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
300000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1617.080000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 53

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.16 03/29/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HMX3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1061.190000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0012995

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HMX3-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.160000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
200000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1061.190000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 54

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.22 03/25/22-01/04/27 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HL06
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1771.660000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0021695

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HL06-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.220000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
300000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1771.660000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.245 03/25/22-01/04/27 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HLB2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-575.590000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0007049

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HLB2-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.245000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
100000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-575.590000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.26 03/25/22-01/04/27 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HL97
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-566.620000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0006939

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HL97-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.260000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
100000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-566.620000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 57

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.35 03/28/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HLS5
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-901.860000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0011044

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HLS5-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.350000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
200000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-901.860000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.7 03/24/22-01/04/27 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HK31
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-306.520000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0003754

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HK31-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.700000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
100000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-306.520000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.715 03/24/22-01/04/27 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HJJ8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-893.240000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0010938

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HJJ8-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.715000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
300000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-893.240000

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 11.87 03/22/22-01/04/27 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HFV5
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1658.490000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0020309

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HFV5-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
11.870000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2027-01-04
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
800000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1658.490000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 61

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 12 03/23/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HIS9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1083.630000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0013270

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HIS9-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
12.000000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
600000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1083.630000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 62

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 12.08 03/21/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HEM6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1471.690000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0018022

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HEM6-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
12.080000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
1000000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1471.690000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 63

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 12.14 03/21/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HF29
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-612.310000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0007498

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HF29-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
12.140000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
500000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-612.310000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 64

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 12.145 03/22/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HGE2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-603.480000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0007390

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HGE2-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
12.145000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
500000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-603.480000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 65

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ZCS BRL 12.16 03/21/22-01/02/25 CME
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWU01HEY0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-1142.360000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0013989

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
Brazil Cetip DI Interbank Deposit Rate
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
SWU01HEY0-Brazil Cetip DI Interbank Deposit Rate
If other identifier provided, indicate the type of identifier used.
Internal ID
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
12.160000
Receipts: Base currency.
Brazil Real
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
Brazil Cetip DI Interbank Deposit Rate
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
Brazil Real
Payments: Amount
0.000000

ii. Termination or maturity date.
2025-01-02
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
Brazil Real
Upfront receipts.
0.000000
ISO Currency Code.
Brazil Real
iv. Notional amount.
1000000.000000
ISO Currency Code.
BRL
v. Unrealized appreciation or depreciation. (24)
-1142.360000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 66

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT CAD SOLD USD 20230404
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
23CVKBBVFRJ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
124.510000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
0.0001525

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1THE TORONTO-DOMINION BANKPT3QB789TSUIDF371261

i. Amount and description of currency sold.
Amount of currency sold.
46518.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
63036.540000
Description of currency purchased.
Canada Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
124.510000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 67

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CAD BOUGHT USD 20230404
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
23BQKBBVXH0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
-511.780000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
-0.0006267

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1THE TORONTO-DOMINION BANKPT3QB789TSUIDF371261

i. Amount and description of currency sold.
Amount of currency sold.
183862.560000
Description of currency sold.
Canada Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
135533.290000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-511.780000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 68

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CAD BOUGHT USD 20230502
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
23CVKBBVFVV
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
-124.490000
f. Exchange rate.
1.350900
g. Percentage value compared to net assets of the Fund.
-0.0001524

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1THE TORONTO-DOMINION BANKPT3QB789TSUIDF371261

i. Amount and description of currency sold.
Amount of currency sold.
63010.630000
Description of currency sold.
Canada Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
46518.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-124.490000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT AUD SOLD USD 20230404
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
23BQKBBVXBC
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Australia Dollar
e. Value. (4)
-1275.850000
f. Exchange rate.
1.496000
g. Percentage value compared to net assets of the Fund.
-0.0015624

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
81168.340000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
119519.000000
Description of currency purchased.
Australia Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-1275.850000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT CAD SOLD USD 20230404
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
23CUKBB159C
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
534.180000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
0.0006541

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
88937.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
120918.750000
Description of currency purchased.
Canada Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
534.180000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 71

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT IDR SOLD USD 20230628
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
23CDKBBZKFJ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
70.480000
f. Exchange rate.
15026.633300
g. Percentage value compared to net assets of the Fund.
0.0000863

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
2918.800000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
44918873.000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2023-06-28
iv. Unrealized appreciation or depreciation. (24)
70.480000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 72

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT ZAR SOLD USD 20230517
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
23CLKBBVGPT
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
South Africa Rand
e. Value. (4)
1303.600000
f. Exchange rate.
17.872400
g. Percentage value compared to net assets of the Fund.
0.0015963

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SOUTH AFRICA
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
39145.680000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
722926.760000
Description of currency purchased.
South Africa Rand
iii. Settlement date.
2023-05-17
iv. Unrealized appreciation or depreciation. (24)
1303.600000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD CAD BOUGHT USD 20230502
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
23CUKBB1190
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
-535.060000
f. Exchange rate.
1.350900
g. Percentage value compared to net assets of the Fund.
-0.0006552

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
120870.270000
Description of currency sold.
Canada Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
88937.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-535.060000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received 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).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
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
23BQKBB1L6M
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-219132.960000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.2683436

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS AGBFM8T61CT2L1QCEMIK50

i. Amount and description of currency sold.
Amount of currency sold.
9620000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
10213756.020000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-219132.960000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 75

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WINDSTREAM HOLDINGS II, LLC 8725909B2
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
967FAL902
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
52536.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
711804.380000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8716542

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

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

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

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
WINDSTREAM HOLDINGS INC
Title of issue.
WINDSTREAM *BACKSTOP COMMITMENT*
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
EQTYDU9M6
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2055-09-21
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
308927.270000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 76

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANK OF AMERICA MTGE SECS-2006-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 2 A15
d. CUSIP (if any).
05950GAQ6
At least one of the following other identifiers:
- ISIN
US05950GAQ64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
689.270000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
591.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0007243

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 77

Item C.1. Identification of investment.

a. Name of issuer (if any).
CLEAR CHANNEL OUTDOOR HOLDINGS INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK
d. CUSIP (if any).
18453H106
At least one of the following other identifiers:
- ISIN
US18453H1068

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
97913.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
117495.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1438816

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 78

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS STRUC PROD INC 2007-R6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
d. CUSIP (if any).
07402FAA3
At least one of the following other identifiers:
- ISIN
US07402FAA30

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
314127.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
244661.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2996057

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.9468
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 79

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS STRUC PROD INC 2007-R6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
d. CUSIP (if any).
07402FAC9
At least one of the following other identifiers:
- ISIN
US07402FAC95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
160460.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
120780.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1479037

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.64929
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 80

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ADJ RATE MTGE TR 2006-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 3A2
d. CUSIP (if any).
07388DAS7
At least one of the following other identifiers:
- ISIN
US07388DAS71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
81154.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
69838.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0855223

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

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

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.56447
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

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

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

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

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 81

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ALT-A TR 2005-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2005 2 2A2A
d. CUSIP (if any).
07386HQX2
At least one of the following other identifiers:
- ISIN
US07386HQX25

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
90112.370000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
72633.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0889452

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.1394
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 82

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ALT-A TRUST 2005-7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1
d. CUSIP (if any).
07386HVS7
At least one of the following other identifiers:
- ISIN
US07386HVS74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
66055.980000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
40504.890000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0496011

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.96427
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 83

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ALT-A TRUST 2005-9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1
d. CUSIP (if any).
07386HYE5
At least one of the following other identifiers:
- ISIN
US07386HYE51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
69964.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
55175.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0675662

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.89466
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 84

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC2 22A2
d. CUSIP (if any).
07387UGW5
At least one of the following other identifiers:
- ISIN
US07387UGW53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1631530.910000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
889077.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0887378

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.57262
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 85

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A3
d. CUSIP (if any).
073888AC3
At least one of the following other identifiers:
- ISIN
US073888AC34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
518795.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
237198.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2904657

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 86

Item C.1. Identification of investment.

a. Name of issuer (if any).
BEAR STEARNS COMM MTG SEC 2004-PWR3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BEAR STEARNS COMMERCIAL MORTGA BSCMS 2004 PWR3 H 144A
d. CUSIP (if any).
07383FYS1
At least one of the following other identifiers:
- ISIN
US07383FYS19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
137720.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
137579.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1684762

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-02-11
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.07405
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 87

Item C.1. Identification of investment.

a. Name of issuer (if any).
BELLE HAVEN ABS CDO LTD 2006-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BELLE HAVEN ABS CDO LTD BLHV 2006 1A A1 144A
d. CUSIP (if any).
078452AA7
At least one of the following other identifiers:
- ISIN
US078452AA72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34966043.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
329135.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4030493

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.47257
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 88

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOMBARDIER CAPITAL MTGE SEC BCM 2000 A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3
d. CUSIP (if any).
09774XBP6
At least one of the following other identifiers:
- ISIN
US09774XBP69

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1421438.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
200058.130000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2449852

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-06-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
7.83
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 89

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES 2018-2A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMS 2018 2A SUB 144A
d. CUSIP (if any).
14317QAC5
At least one of the following other identifiers:
- ISIN
US14317QAC50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
186347.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2281951

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-10-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 90

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A
d. CUSIP (if any).
14311CAA6
At least one of the following other identifiers:
- ISIN
US14311CAA62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1700000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
438033.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5364022

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-04-17
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 91

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-1 LTD 14-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 1A SUB 144A
d. CUSIP (if any).
ACI18MPH2
At least one of the following other identifiers:
- ISIN
XS1032522291

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
281320.860000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3444971

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 92

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-3 DAC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 3A SUB 144A
d. CUSIP (if any).
ACI18FBB5
At least one of the following other identifiers:
- ISIN
XS1111617632

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
95359.850000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1167748

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 93

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARNIVAL CORPORATION
b. LEI (if any) of issuer. (1)
F1OF2ZSX47CR0BCWA982
c. Title of the issue or description of the investment.
CARNIVAL CORPORATION USD TERM LOAN B
d. CUSIP (if any).
P2121YAN8
At least one of the following other identifiers:
- ISIN
XAP2121YAN84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
393924.040000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
389787.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4773225

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PANAMA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 94

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARRINGTON MTGE LOAN TRUST 2006-NC3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC3 A3
d. CUSIP (if any).
144528AC0
At least one of the following other identifiers:
- ISIN
US144528AC05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
37444.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
35183.440000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0430846

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.99529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 95

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARVANA CO
b. LEI (if any) of issuer. (1)
5493003WEAK2PJ5WS063
c. Title of the issue or description of the investment.
CARVANA CO COMPANY GUAR 144A 05/30 10.25
d. CUSIP (if any).
146869AJ1
At least one of the following other identifiers:
- ISIN
US146869AJ18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
228088.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2793102

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 96

Item C.1. Identification of investment.

a. Name of issuer (if any).
CBA COMMERCIAL SMALL BALANCE CMM 2006-2A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A
d. CUSIP (if any).
14983CAA3
At least one of the following other identifiers:
- ISIN
US14983CAA36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
119635.470000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
111301.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1362962

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.04
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 97

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED 144A 04/27 7.75
d. CUSIP (if any).
ACI1WM066
At least one of the following other identifiers:
- ISIN
XS2324372510

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
132000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
122038.770000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1494450

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 98

Item C.1. Identification of investment.

a. Name of issuer (if any).
CGG SA
b. LEI (if any) of issuer. (1)
969500FCVQ5SLAAUJV59
c. Title of the issue or description of the investment.
CGG SA SR SECURED 144A 04/27 8.75
d. CUSIP (if any).
12531TAF6
At least one of the following other identifiers:
- ISIN
US12531TAF66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1887000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1575531.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9293489

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 99

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHEVY CHASE MORTGAGE FUND CORP 2003-4A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2003 4A A1 144A
d. CUSIP (if any).
16678RAJ6
At least one of the following other identifiers:
- ISIN
US16678RAJ68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1893.020000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1748.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0021413

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.52529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 100

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHEVY CHASE MTGE FUNDING CORP 2004-3A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A
d. CUSIP (if any).
16678RBV8
At least one of the following other identifiers:
- ISIN
US16678RBV87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
31164.730000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27774.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0340116

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.14529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 101

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP COMMERCIAL MTGE TRUST 2007-C6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ
d. CUSIP (if any).
17311QBN9
At least one of the following other identifiers:
- ISIN
US17311QBN97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
465938.310000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
214139.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2622290

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.0843
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 102

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MORTGAGE LOAN TRUST 2014-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 6 3A3 144A
d. CUSIP (if any).
17322WAK0
At least one of the following other identifiers:
- ISIN
US17322WAK09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1058191.070000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
596119.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7299894

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.86409
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 103

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MTGE LOAN TR INC 2007-AR4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A
d. CUSIP (if any).
17311WAD9
At least one of the following other identifiers:
- ISIN
US17311WAD92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
52745.960000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50598.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0619612

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.52352
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 104

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP MTGE LOAN TR INC 2007-OPX1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 OPX1 A1B
d. CUSIP (if any).
17311FAB0
At least one of the following other identifiers:
- ISIN
US17311FAB04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
127978.230000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
43536.620000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0533136

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.00529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 105

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ
d. CUSIP (if any).
14986DAJ9
At least one of the following other identifiers:
- ISIN
US14986DAJ90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
65963.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
59189.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0724812

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.688
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 106

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITY OF BUENOS AIRES
b. LEI (if any) of issuer. (1)
5299007MC8RF52X0ON96
c. Title of the issue or description of the investment.
CITY OF BUENOS AIRES UNSECURED 02/28 VAR
d. CUSIP (if any).
ACI0Z1129
At least one of the following other identifiers:
- ISIN
ARCBAS3201J5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
449200.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
1177.870000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0014424

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
73.0907
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 107

Item C.1. Identification of investment.

a. Name of issuer (if any).
COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM
d. CUSIP (if any).
20173WAH1
At least one of the following other identifiers:
- ISIN
US20173WAH16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
265701.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
67235.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0823350

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.20988
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 108

Item C.1. Identification of investment.

a. Name of issuer (if any).
CONNECTICUT AVENUE SECURITIES TRUST 2021-R01
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE CAS CAS 2021 R01 1B1 144A
d. CUSIP (if any).
20754RAF3
At least one of the following other identifiers:
- ISIN
US20754RAF38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
850607.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0416281

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.65979
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 109

Item C.1. Identification of investment.

a. Name of issuer (if any).
CONSECO FINANCE SECURITIZATION 2000-5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CONSECO FINANCE SECURITIZATION CNF 2000 5 A6
d. CUSIP (if any).
20846QEQ7
At least one of the following other identifiers:
- ISIN
US20846QEQ73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
364965.890000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
113547.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1390468

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.96
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 110

Item C.1. Identification of investment.

a. Name of issuer (if any).
CORESTATE CAPITAL HOLDING SA
b. LEI (if any) of issuer. (1)
529900GNB86RB7HRX793
c. Title of the issue or description of the investment.
CORESTATE CAPITAL HOLD SR UNSECURED REGS 04/23 3.5
d. CUSIP (if any).
ACI11QWM1
At least one of the following other identifiers:
- ISIN
DE000A19YDA9

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
108016.190000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1322734

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 111

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALT LOAN TRUST 2004-14T2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 14T2 A12
d. CUSIP (if any).
12667FMY8
At least one of the following other identifiers:
- ISIN
US12667FMY87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
182331.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
174390.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2135538

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 112

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2004-18CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 18CB 5A2
d. CUSIP (if any).
12667FRD9
At least one of the following other identifiers:
- ISIN
US12667FRD95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
28021.470000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27126.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0332180

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 113

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2005-43
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3
d. CUSIP (if any).
12667G5Y5
At least one of the following other identifiers:
- ISIN
US12667G5Y54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
75657.190000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
60774.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0744225

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.17011
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 114

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2005-44
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1
d. CUSIP (if any).
12667G3L5
At least one of the following other identifiers:
- ISIN
US12667G3L51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
419813.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
289892.770000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3549940

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.50529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 115

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5
d. CUSIP (if any).
02147MAE1
At least one of the following other identifiers:
- ISIN
US02147MAE12

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
757894.410000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
128451.810000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1572982

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.30471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 116

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6
d. CUSIP (if any).
12668BSL8
At least one of the following other identifiers:
- ISIN
US12668BSL89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1184600.560000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
365541.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4476308

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.19529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 117

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A2
d. CUSIP (if any).
23244GAE2
At least one of the following other identifiers:
- ISIN
US23244GAE26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
50092.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
30878.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0378131

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.32529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 118

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3
d. CUSIP (if any).
12667GLD3
At least one of the following other identifiers:
- ISIN
US12667GLD33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
409655.690000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
396108.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4850630

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.47545
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 119

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1
d. CUSIP (if any).
02149DAN9
At least one of the following other identifiers:
- ISIN
US02149DAN93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
65466.260000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
54374.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0665860

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.97277
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 120

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A1
d. CUSIP (if any).
02147RAN0
At least one of the following other identifiers:
- ISIN
US02147RAN08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
990624.980000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
351855.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4308711

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 121

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A5
d. CUSIP (if any).
12668BFE8
At least one of the following other identifiers:
- ISIN
US12668BFE83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12360.980000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
7535.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0092281

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 122

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE ASSET-BACKED CERT 2004-SD3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD3 A2 144A
d. CUSIP (if any).
126673FK3
At least one of the following other identifiers:
- ISIN
US126673FK34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
25592.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23883.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0292476

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.94529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 123

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2004-25
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2
d. CUSIP (if any).
12669GKG5
At least one of the following other identifiers:
- ISIN
US12669GKG54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49572.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
41025.650000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0502388

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.62529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 124

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2005-15
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2005 15 A7
d. CUSIP (if any).
12669GR37
At least one of the following other identifiers:
- ISIN
US12669GR371

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11514.350000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6789.280000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0083139

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 125

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2005-HYB6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 1A1
d. CUSIP (if any).
126694BE7
At least one of the following other identifiers:
- ISIN
US126694BE72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
68169.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
61265.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0750239

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.85102
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 126

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2005-HYB6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 4A1B
d. CUSIP (if any).
126694BQ0
At least one of the following other identifiers:
- ISIN
US126694BQ03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
30843.530000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
29305.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0358863

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.80401
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 127

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2005-HYB6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 5A1
d. CUSIP (if any).
126694BS6
At least one of the following other identifiers:
- ISIN
US126694BS68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8741.870000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8044.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0098515

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.95655
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 128

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2006-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1
d. CUSIP (if any).
126694YJ1
At least one of the following other identifiers:
- ISIN
US126694YJ13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100186.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
87716.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1074144

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.32529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 129

Item C.1. Identification of investment.

a. Name of issuer (if any).
COUNTRYWIDE HOME LOANS 2007-HYB1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1
d. CUSIP (if any).
22239EAA4
At least one of the following other identifiers:
- ISIN
US22239EAA47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
219935.230000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
165036.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2020982

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.58515
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 130

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT AGRICOLE SA
b. LEI (if any) of issuer. (1)
969500TJ5KRTCJQWXH05
c. Title of the issue or description of the investment.
CREDIT AGRICOLE SA JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
F22797RT7
At least one of the following other identifiers:
- ISIN
USF22797RT78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
196797.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2409927

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-01-23
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 131

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG COCO JRSUB 144A
d. CUSIP (if any).
225401AK4
At least one of the following other identifiers:
- ISIN
US225401AK46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11500.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0140826

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2099-12-31
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 132

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE GROUP AG
b. LEI (if any) of issuer. (1)
549300506SI9CRFV9Z86
c. Title of the issue or description of the investment.
CREDIT SUISSE GROUP AG SR UNSECURED REGS 03/29 VAR
d. CUSIP (if any).
ACI2B33K5
At least one of the following other identifiers:
- ISIN
CH1214797172

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
950097.390000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
1.1634607

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 133

Item C.1. Identification of investment.

a. Name of issuer (if any).
CREDIT SUISSE MRTG CAPITAL CERT 2006-9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CREDIT SUISSE MORTGAGE TRUST CSMC 2006 9 3A1
d. CUSIP (if any).
126380AC8
At least one of the following other identifiers:
- ISIN
US126380AC82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
96399.440000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
83124.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1017916

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 134

Item C.1. Identification of investment.

a. Name of issuer (if any).
IHEARTMEDIA INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IHEARTMEDIA INC CLASS A COMMON STOCK
d. CUSIP (if any).
45174J509
At least one of the following other identifiers:
- ISIN
US45174J5092

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
22927.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
89415.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1094953

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 135

Item C.1. Identification of investment.

a. Name of issuer (if any).
IHEARTMEDIA INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IHEARTMEDIA INC CLASS B COMMON STOCK
d. CUSIP (if any).
45174J608
At least one of the following other identifiers:
- ISIN
US45174J6082

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
17837.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
62607.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0766677

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 136

Item C.1. Identification of investment.

a. Name of issuer (if any).
DIAMOND SPORTS GROUP LLC
b. LEI (if any) of issuer. (1)
5493002K6DHWNZH8YA34
c. Title of the issue or description of the investment.
DIAMOND SPORTS GROUP LLC 2022 FIRST PRI TERM LOAN
d. CUSIP (if any).
25277BAE8
At least one of the following other identifiers:
- ISIN
US25277BAE83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1293483.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1220725.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.4948634

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12.7755
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 137

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISH DBS CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DISH DBS CORP SR SECURED 144A 12/26 5.25
d. CUSIP (if any).
25470XBE4
At least one of the following other identifiers:
- ISIN
US25470XBE40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1439586.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.7628737

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 138

Item C.1. Identification of investment.

a. Name of issuer (if any).
DISH NETWORK CORPORATION
b. LEI (if any) of issuer. (1)
529900U350CWHH15G169
c. Title of the issue or description of the investment.
DISH NETWORK CORP SR UNSECURED 08/26 3.375
d. CUSIP (if any).
25470MAB5
At least one of the following other identifiers:
- ISIN
US25470MAB54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
312000.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3820659

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☒ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
#1DISH NETWORK CORPORATIONDISH NETWORK CORP-A United States Dollar
At least one of the following other identifiers:
Identifier typeIdentifier value
ISIN (if CUSIP is not available) US25470M1099

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
#115.3429 United States Dollar

v. Delta (if applicable).
XXXX

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 139

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT SA
b. LEI (if any) of issuer. (1)
549300YV2L21F4K80V46
c. Title of the issue or description of the investment.
INTELSAT EMERGENCE SA COMMON STOCK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445093128

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34279.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
839835.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0284373

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)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 140

Item C.1. Identification of investment.

a. Name of issuer (if any).
DTEK ENERGY BV (AKA: DTEK HOLDINGS BV)
b. LEI (if any) of issuer. (1)
9845009A70B44Q680820
c. Title of the issue or description of the investment.
DTEK ENERGY BV COMPANY GUAR REGS 12/27 7.5
d. CUSIP (if any).
ACI1XVP76
At least one of the following other identifiers:
- ISIN
XS2342930521

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
738136.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
218211.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2672152

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 141

Item C.1. Identification of investment.

a. Name of issuer (if any).
EXELA INTERMEDIATE LLC / EXELA FINANCE INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5
d. CUSIP (if any).
30162RAC5
At least one of the following other identifiers:
- ISIN
US30162RAC51

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
17000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2227.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0027277

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 142

Item C.1. Identification of investment.

a. Name of issuer (if any).
EXTENDED STAY AMERICA TRUST 2021-ESH
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
EXTENDED STAY AMERICA TRUST ESA 2021 ESH F 144A
d. CUSIP (if any).
30227FAN0
At least one of the following other identifiers:
- ISIN
US30227FAN06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
976192.220000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
919282.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1257260

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.385
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 143

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2005-122
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2005 122 SG
d. CUSIP (if any).
31394VED8
At least one of the following other identifiers:
- ISIN
US31394VED82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
28808.080000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
972.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0011912

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.75471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 144

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2007-109
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 109 AI
d. CUSIP (if any).
31396XY73
At least one of the following other identifiers:
- ISIN
US31396XY734

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
175870.070000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11812.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0144656

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.55471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 145

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2007-15
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 15 AI
d. CUSIP (if any).
31396PWK3
At least one of the following other identifiers:
- ISIN
US31396PWK38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
137877.060000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11562.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0141592

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.53471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 146

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2007-4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 4 SL
d. CUSIP (if any).
31396PMQ1
At least one of the following other identifiers:
- ISIN
US31396PMQ18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
125890.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14131.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0173045

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.35471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 147

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2007-54
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 54 NI
d. CUSIP (if any).
31396WFM3
At least one of the following other identifiers:
- ISIN
US31396WFM38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
65966.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4009.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0049104

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.56471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 148

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2008-41
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2008 41 S
d. CUSIP (if any).
31397LLL1
At least one of the following other identifiers:
- ISIN
US31397LLL17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
664755.410000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
72572.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0888704

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.95471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 149

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE 2009-87
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2009 87 HS
d. CUSIP (if any).
31398FR45
At least one of the following other identifiers:
- ISIN
US31398FR459

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
116115.750000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9334.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0114305

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.30471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 150

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE CAS CAS 2017 C01 1B1
d. CUSIP (if any).
30711XEQ3
At least one of the following other identifiers:
- ISIN
US30711XEQ34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
220000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
241170.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2953304

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.5953
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 151

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2007-22
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 22 SW
d. CUSIP (if any).
31396PT92
At least one of the following other identifiers:
- ISIN
US31396PT920

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
116271.320000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9561.730000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0117090

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.20471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 152

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2007-88
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 88 JI
d. CUSIP (if any).
31396XUR3
At least one of the following other identifiers:
- ISIN
US31396XUR33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
360642.860000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33910.530000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0415258

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.60471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 153

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2014-31
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2014 31 US
d. CUSIP (if any).
3136AKDX8
At least one of the following other identifiers:
- ISIN
US3136AKDX86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
223820.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
146988.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1799976

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 154

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE REMICS 2019-62
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2019 62 SN
d. CUSIP (if any).
3136B62S1
At least one of the following other identifiers:
- ISIN
US3136B62S11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
110858.870000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16288.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0199461

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.15471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 155

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE-1993-250
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 1993 250 DZ
d. CUSIP (if any).
31359FWN4
At least one of the following other identifiers:
- ISIN
US31359FWN40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4368.530000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4360.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0053400

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-12-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 156

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE-2007-117
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2007 117 SG
d. CUSIP (if any).
31396YAW2
At least one of the following other identifiers:
- ISIN
US31396YAW21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
183715.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14440.080000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0176829

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.45471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 157

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIE MAE-2020-38
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIE MAE FNR 2020 38 NI
d. CUSIP (if any).
3136BAGT5
At least one of the following other identifiers:
- ISIN
US3136BAGT56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11927977.870000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1741762.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.1329102

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 158

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIEMAE WHOLE LOAN 2003-W-8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIEMAE WHOLE LOAN FNW 2003 W8 PT1
d. CUSIP (if any).
31393CY31
At least one of the following other identifiers:
- ISIN
US31393CY313

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
31166.190000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
32405.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0396824

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.2459
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 159

Item C.1. Identification of investment.

a. Name of issuer (if any).
FANNIEMAE WHOLE LOAN-1996-W2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FANNIEMAE WHOLE LOAN FNW 1996 W2 A7
d. CUSIP (if any).
31359KGH4
At least one of the following other identifiers:
- ISIN
US31359KGH41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
416.190000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
421.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0005164

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.68371
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 160

Item C.1. Identification of investment.

a. Name of issuer (if any).
FIRST HORIZON ALT MTG SEC 2006-AA6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1
d. CUSIP (if any).
32052MAE1
At least one of the following other identifiers:
- ISIN
US32052MAE12

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
152539.540000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
107098.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1311492

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.52259
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 161

Item C.1. Identification of investment.

a. Name of issuer (if any).
FIRST HORIZON MTGE PT TR 2006-AR4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2
d. CUSIP (if any).
32053AAB2
At least one of the following other identifiers:
- ISIN
US32053AAB26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
192136.320000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
119406.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1462215

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.18646
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 162

Item C.1. Identification of investment.

a. Name of issuer (if any).
NMG PARENT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NEIMAN MARCUS USD COMMON STOCK EQUITY
d. CUSIP (if any).
967DUC905
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY0NMG4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
516.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
79729.060000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0976338

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 163

Item C.1. Identification of investment.

a. Name of issuer (if any).
OCP CLO LTD 2016-11A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OCP CLO 2016 11 LTD PREFERRED STOCK 04/28 0.00000
d. CUSIP (if any).
67092H209
At least one of the following other identifiers:
- ISIN
US67092H2094

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1400.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
695671.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8518980

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)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 164

Item C.1. Identification of investment.

a. Name of issuer (if any).
FNMA PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA POOL BM5807 FN 04/48 FIXED VAR
d. CUSIP (if any).
3140JANZ7
At least one of the following other identifiers:
- ISIN
US3140JANZ71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
288721.280000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
272543.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3337482

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-04-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 165

Item C.1. Identification of investment.

a. Name of issuer (if any).
FNMA PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA POOL MA3305 FN 03/48 FIXED 3.5
d. CUSIP (if any).
31418CU77
At least one of the following other identifiers:
- ISIN
US31418CU779

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
91396.040000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
86246.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1056148

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 166

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORBES ENERGY SERVICES LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FORBES ENERGY SERVICES LLC 2018 PIK FIIXED TERM LOAN
d. CUSIP (if any).
943UMZII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKL0WJ922
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1095.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 167

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORBES ENERGY SERVICES LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN
d. CUSIP (if any).
962XCSII2
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL2335778
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
78980.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.2961
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 168

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC 3211
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 3211 SH
d. CUSIP (if any).
31397BA50
At least one of the following other identifiers:
- ISIN
US31397BA506

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
339456.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33047.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0404689

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.89557
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 169

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC 3218
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 3218 SA
d. CUSIP (if any).
31397BJY8
At least one of the following other identifiers:
- ISIN
US31397BJY83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
166555.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14751.210000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0180639

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.88557
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 170

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC 3284
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 3284 NI
d. CUSIP (if any).
31397FM74
At least one of the following other identifiers:
- ISIN
US31397FM742

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
301287.850000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27006.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0330710

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.75557
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 171

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A
d. CUSIP (if any).
35563CAB4
At least one of the following other identifiers:
- ISIN
US35563CAB46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5484854.070000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
362217.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4435611

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 172

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC REMICS 4990
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 4990 SN
d. CUSIP (if any).
3137FUYG3
At least one of the following other identifiers:
- ISIN
US3137FUYG35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1134318.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
143225.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1753896

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.30471
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 173

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC STACR REMIC TRUST 2021-DNA6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC STACR STACR 2021 DNA6 B2 144A
d. CUSIP (if any).
35564KLV9
At least one of the following other identifiers:
- ISIN
US35564KLV97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1118014.920000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3690875

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12.0598
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 174

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC STACR STACR 2017 DNA2 B1
d. CUSIP (if any).
3137G0PR4
At least one of the following other identifiers:
- ISIN
US3137G0PR43

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
267452.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3275137

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.99529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 175

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREDDIE MAC-1560
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREDDIE MAC FHR 1560 Z
d. CUSIP (if any).
3133T0VX9
At least one of the following other identifiers:
- ISIN
US3133T0VX98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
86.350000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
86.130000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0001055

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 176

Item C.1. Identification of investment.

a. Name of issuer (if any).
GATEWAY CASINOS & ENTERTAINMENT LIMITED
b. LEI (if any) of issuer. (1)
549300JSKBQMMD1B3U44
c. Title of the issue or description of the investment.
GTWY CASINO+ENTERTAINMNT LTD 2021 CAD TERM LOAN
d. CUSIP (if any).
943ZHKII3
At least one of the following other identifiers:
- ISIN
XAC3604MAQ50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
241481.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Canada Dollar
e. Value. (4)
177113.230000
f. Exchange rate.
1.351500
g. Percentage value compared to net assets of the Fund.
0.2168875

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13.0725
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 177

Item C.1. Identification of investment.

a. Name of issuer (if any).
GATEWAY CASINOS & ENTERTAINMENT LIMITED
b. LEI (if any) of issuer. (1)
549300JSKBQMMD1B3U44
c. Title of the issue or description of the investment.
GTWY CASINO+ENTERTAINMNT LTD 2021 TERM LOAN
d. CUSIP (if any).
943ZERII1
At least one of the following other identifiers:
- ISIN
XAC3604MAR34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1106844.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1097159.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3435487

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CANADA (FEDERAL LEVEL)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
12.8035
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 178

Item C.1. Identification of investment.

a. Name of issuer (if any).
SIERRA HAMILTON HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SIERRA HAMILTON HOLDER LLC
d. CUSIP (if any).
932BTZ902
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY001A0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100456.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000123

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 179

Item C.1. Identification of investment.

a. Name of issuer (if any).
AXIS ENERGY SERVICES HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AXIS ENERGY SERVICES CLASS A EQTY009T1 AXIS ENERGY SERVICES
d. CUSIP (if any).
942WZK900
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY009T1
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
513.850000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16988.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0208041

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 180

Item C.1. Identification of investment.

a. Name of issuer (if any).
GNMA PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GNMA II TBA 30 YR 3.5 JUMBOS
d. CUSIP (if any).
21H032647
At least one of the following other identifiers:
- ISIN
US21H0326478

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3093878.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.7886711

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-04-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 181

Item C.1. Identification of investment.

a. Name of issuer (if any).
GNMA PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GNMA II TBA 30 YR 4.5 JUMBOS
d. CUSIP (if any).
21H042653
At least one of the following other identifiers:
- ISIN
US21H0426534

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1600000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1576423.310000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9304406

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 182

Item C.1. Identification of investment.

a. Name of issuer (if any).
STICHTING AK RABOBANK CERTIFICATEN
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR
d. CUSIP (if any).
BJBQCWII7
At least one of the following other identifiers:
- ISIN
XS1002121454

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1890000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1979163.700000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
2.4236244

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NETHERLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 183

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
US78486QAQ47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
729.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0008936

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 184

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SYNIVERSE PFD PIK PFDJJZ917
d. CUSIP (if any).
936UVD902
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
PFDJJZ917
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
308007.700000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
290241.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3554207

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 185

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS
d. CUSIP (if any).
38381BGP3
At least one of the following other identifiers:
- ISIN
US38381BGP31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
899983.480000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
95073.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1164247

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-12-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.33857
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 186

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC BONDS REGS 01/33 3.9
d. CUSIP (if any).
ACI0Z3H77
At least one of the following other identifiers:
- ISIN
GR0128015725

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
162316.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
172542.740000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.2112907

Item C.3. Payoff profile.

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)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.9
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 187

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC BONDS REGS 01/37 4
d. CUSIP (if any).
ACI0Z3HB8
At least one of the following other identifiers:
- ISIN
GR0133011248

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
127210.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
134381.940000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1645601

Item C.3. Payoff profile.

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)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 188

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC BONDS REGS 01/42 4.2
d. CUSIP (if any).
ACI0Z3HC6
At least one of the following other identifiers:
- ISIN
GR0138015814

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
158677.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
171021.710000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.2094280

Item C.3. Payoff profile.

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)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-01-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 189

Item C.1. Identification of investment.

a. Name of issuer (if any).
GREEK GOVT
b. LEI (if any) of issuer. (1)
2138003EKTMKZ5598902
c. Title of the issue or description of the investment.
HELLENIC REPUBLIC SR UNSECURED 144A REGS 04/27 2
d. CUSIP (if any).
ACI1LSSZ1
At least one of the following other identifiers:
- ISIN
GR0118020685

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
73000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
74568.800000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0913147

Item C.3. Payoff profile.

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)
GREECE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 190

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANCA MONTE DEI PASCHI DI SIENA SPA
b. LEI (if any) of issuer. (1)
J4CP7MHCXR8DAQMKIL78
c. Title of the issue or description of the investment.
BANCA MONTE DEI PASCHI SIENA COMMON STOCK
d. CUSIP (if any).
ACI28SXK1
At least one of the following other identifiers:
- ISIN
IT0005508921

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
123500.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
268608.120000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.3289294

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)
ITALY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 191

Item C.1. Identification of investment.

a. Name of issuer (if any).
GSR MORTGAGE LOAN TRUST 2005-AR2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2
d. CUSIP (if any).
36242DH55
At least one of the following other identifiers:
- ISIN
US36242DH559

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
73411.410000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
64318.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0787629

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.82205
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 192

Item C.1. Identification of investment.

a. Name of issuer (if any).
HARBORVIEW MORTGAGE LOAN TR 2004-8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A1
d. CUSIP (if any).
41161PHE6
At least one of the following other identifiers:
- ISIN
US41161PHE60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
45948.510000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
38494.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0471386

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-19
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.25163
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 193

Item C.1. Identification of investment.

a. Name of issuer (if any).
HARBORVIEW MORTGAGE LOAN TR 2006-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 2 1A
d. CUSIP (if any).
41161PJ38
At least one of the following other identifiers:
- ISIN
US41161PJ380

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
14790.570000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4730.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0057930

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.52472
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 194

Item C.1. Identification of investment.

a. Name of issuer (if any).
HARBORVIEW MORTGAGE LOAN TR 2006-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A
d. CUSIP (if any).
41161UAJ1
At least one of the following other identifiers:
- ISIN
US41161UAJ16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2182.520000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1916.990000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0023475

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-19
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.45825
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 195

Item C.1. Identification of investment.

a. Name of issuer (if any).
HARBORVIEW MORTGAGE LOAN TRUST 2004-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 1A
d. CUSIP (if any).
41161PCX9
At least one of the following other identifiers:
- ISIN
US41161PCX96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3483.360000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3132.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0038355

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-04-19
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.36143
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 196

Item C.1. Identification of investment.

a. Name of issuer (if any).
HCA INC
b. LEI (if any) of issuer. (1)
L3CJ6J7LJ2DX62FTXD46
c. Title of the issue or description of the investment.
HCA INC COMPANY GUAR 11/95 7.5
d. CUSIP (if any).
197677AH0
At least one of the following other identifiers:
- ISIN
US197677AH07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
329535.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4035398

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2095-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 197

Item C.1. Identification of investment.

a. Name of issuer (if any).
HESTIA RE LTD
b. LEI (if any) of issuer. (1)
549300QRKQ1ZKOXEMZ38
c. Title of the issue or description of the investment.
HESTIA RE LTD UNSECURED 144A 04/25 VAR
d. CUSIP (if any).
42815KAA0
At least one of the following other identifiers:
- ISIN
US42815KAA07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
206250.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2525676

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-22
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 198

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSI ASSET LOAN OBLIGATION 2007-AR1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HSI ASSET LOAN OBLIGATION HALO 2007 AR1 2A1
d. CUSIP (if any).
40431LAB4
At least one of the following other identifiers:
- ISIN
US40431LAB45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
109493.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
75061.320000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0919178

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.08247
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 199

Item C.1. Identification of investment.

a. Name of issuer (if any).
HUARONG FINANCE 2019 CO LTD
b. LEI (if any) of issuer. (1)
549300M6T6OW4AGYHK10
c. Title of the issue or description of the investment.
HUARONG FINANCE 2019 COMPANY GUAR REGS 11/29 3.875
d. CUSIP (if any).
ACI1GS152
At least one of the following other identifiers:
- ISIN
XS2076078786

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
138919.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1701161

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VIRGIN ISLANDS (BRITISH)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-11-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 200

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)
b. LEI (if any) of issuer. (1)
549300V3NU625PJUVA84
c. Title of the issue or description of the investment.
UNITI GROUP INC REIT USD.0001
d. CUSIP (if any).
91325V108
At least one of the following other identifiers:
- ISIN
US91325V1089

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
32667.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
115967.850000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1420107

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 201

Item C.1. Identification of investment.

a. Name of issuer (if any).
INDYMAC INDX MORTGAGE LOAN TR 2004-AR4
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR4 2A1A
d. CUSIP (if any).
45660LEG0
At least one of the following other identifiers:
- ISIN
US45660LEG05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3570.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3465.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0042432

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.40529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 202

Item C.1. Identification of investment.

a. Name of issuer (if any).
INDYMAC INDX MORTGAGE LOAN TR 2007-AR11
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR11 1A1
d. CUSIP (if any).
45669FAA1
At least one of the following other identifiers:
- ISIN
US45669FAA12

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
279186.770000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
246188.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3014753

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.9234
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 203

Item C.1. Identification of investment.

a. Name of issuer (if any).
INDYMAC INDX MTGE LOAN TRUST 2007-FLX3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A2
d. CUSIP (if any).
45670AAB7
At least one of the following other identifiers:
- ISIN
US45670AAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
468128.010000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
510570.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6252289

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.38529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 204

Item C.1. Identification of investment.

a. Name of issuer (if any).
INGENICO TERMINALS (POSEIDON BIDCO)
b. LEI (if any) of issuer. (1)
254900LGX7YG7Y9YM766
c. Title of the issue or description of the investment.
POSEIDON BIDCO SASU EUR TERM LOAN B
d. CUSIP (if any).
945BRXII5
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3971860
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
999999.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1051964.890000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
1.2882046

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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-07-14
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.265
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 205

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5
d. CUSIP (if any).
45824TBC8
At least one of the following other identifiers:
- ISIN
US45824TBC80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2525000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2321055.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.8422951

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 206

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTELSAT JACKSON HOLDINGS SA
b. LEI (if any) of issuer. (1)
8XJ8KF85PBKK1TLMFN29
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B
d. CUSIP (if any).
L5137LAQ8
At least one of the following other identifiers:
- ISIN
XAL5137LAQ85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
634961.820000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
629669.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7710742

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.0816
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 207

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOYAGER AVIATION HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300KHOKL1CX4NIJ92
c. Title of the issue or description of the investment.
VOYAGER AVIATION HLD EQUITY VOYAGER AVIATION 92918X9D9
d. CUSIP (if any).
942UCF009
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
92918X9D9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
376.670000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
0.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 208

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MORTGAGE TRUST 2005-S3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A21
d. CUSIP (if any).
466247B28
At least one of the following other identifiers:
- ISIN
US466247B280

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
25366.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13367.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0163692

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.5
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 209

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP MORGAN MORTGAGE TRUST 2007-A2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 1A1
d. CUSIP (if any).
46630PAA3
At least one of the following other identifiers:
- ISIN
US46630PAA30

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
157327.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
123420.100000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1511365

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.292
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 210

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTMORELAND MINING HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WESTMORELAND MINING HOLDINGS L COMMON
d. CUSIP (if any).
935ZXN908
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
EQTY03452
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13224.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
39672.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0485811

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 211

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEALAND FINANCE COMPANY BV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL
d. CUSIP (if any).
N5200EAC5
At least one of the following other identifiers:
- ISIN
XAN5200EAC56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7105.700000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5240.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0064173

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-06-28
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 212

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEALAND FINANCE COMPANY BV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL
d. CUSIP (if any).
N5200EAB7
At least one of the following other identifiers:
- ISIN
XAN5200EAB73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
65604.960000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44255.790000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0541943

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.8403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 213

Item C.1. Identification of investment.

a. Name of issuer (if any).
LEHMAN XS TRUST 2007-6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LEHMAN XS TRUST LXS 2007 6 3A5
d. CUSIP (if any).
52524PAL6
At least one of the following other identifiers:
- ISIN
US52524PAL67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
24472.660000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23125.570000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0283189

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.72
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 214

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2018-4A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A
d. CUSIP (if any).
57109G104
At least one of the following other identifiers:
- ISIN
US57109G1040

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
117178.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1434929

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 215

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2019-1A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2019 1A CERT 144A
d. CUSIP (if any).
57109X107
At least one of the following other identifiers:
- ISIN
US57109X1072

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1700.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
102608.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1256514

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 216

Item C.1. Identification of investment.

a. Name of issuer (if any).
MARLETTE FUNDING TRUST 2019-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A
d. CUSIP (if any).
57109H102
At least one of the following other identifiers:
- ISIN
US57109H1023

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2346.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
179991.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2204122

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 217

Item C.1. Identification of investment.

a. Name of issuer (if any).
MASTR ADJ RATE MTGE TRUST 2007-R5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 R5 A1 144A
d. CUSIP (if any).
57645WAA8
At least one of the following other identifiers:
- ISIN
US57645WAA80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
322269.450000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
188767.820000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2311594

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.10772
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 218

Item C.1. Identification of investment.

a. Name of issuer (if any).
MASTR ADJUSTABLE RATE MTGES TRU 2004-10
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1
d. CUSIP (if any).
576433SV9
At least one of the following other identifiers:
- ISIN
US576433SV90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
57984.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50732.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0621249

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.9244
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 219

Item C.1. Identification of investment.

a. Name of issuer (if any).
MERRILL LYNCH ALTERNATIVE NT 2007-A1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A2A
d. CUSIP (if any).
59023MAB6
At least one of the following other identifiers:
- ISIN
US59023MAB63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
628211.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
189814.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2324408

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.98529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 220

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY ABS CAPITAL I 2007-HE6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1
d. CUSIP (if any).
61755CAA0
At least one of the following other identifiers:
- ISIN
US61755CAA09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
51734.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
45274.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0554418

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.90529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 221

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORRISON (MARKET BIDCO FINCO PLC)
b. LEI (if any) of issuer. (1)
549300UGYX6EBVHRVG53
c. Title of the issue or description of the investment.
MARKET BIDCO FINCO PLC SR SECURED REGS 11/27 4.75
d. CUSIP (if any).
ACI261WK3
At least one of the following other identifiers:
- ISIN
XS2470988523

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
84393.500000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1033457

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-04
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 222

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORRISON (MARKET BIDCO LIMITED)
b. LEI (if any) of issuer. (1)
549300RKU7UEPSC42U63
c. Title of the issue or description of the investment.
WM MORRISON GBP TERM LOAN A
d. CUSIP (if any).
948DUDII8
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL4100543
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1039000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1136979.010000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
1.3923103

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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-04
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.4273
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 223

Item C.1. Identification of investment.

a. Name of issuer (if any).
ADAGIO VI CLO DAC VI-A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ADAGIO CLO ADAGI VI A SUB 144A
d. CUSIP (if any).
ACI0YQYN3
At least one of the following other identifiers:
- ISIN
XS1710468239

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
79024.540000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0967711

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-04-30
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 224

Item C.1. Identification of investment.

a. Name of issuer (if any).
ADLER GROUP SA
b. LEI (if any) of issuer. (1)
391200OYYFJ3DWAMEC69
c. Title of the issue or description of the investment.
ADLER BACKSTOP
d. CUSIP (if any).
945ZFYII3
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
ADS4RY927
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
108338.390000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.1326679

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☒ Yes ☐ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-07-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
12.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 225

Item C.1. Identification of investment.

a. Name of issuer (if any).
NISSAN MOTOR CO LTD
b. LEI (if any) of issuer. (1)
353800DRBDH1LUTNAY26
c. Title of the issue or description of the investment.
NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81
d. CUSIP (if any).
654744AD3
At least one of the following other identifiers:
- ISIN
US654744AD34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1087408.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3316083

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JAPAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-09-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.81
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 226

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE FINANCE CO SECURED 02/28 11
d. CUSIP (if any).
65505JAC5
At least one of the following other identifiers:
- ISIN
US65505JAC53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5919.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6510.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0079731

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 227

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOBLE FINANCE COMPANY
b. LEI (if any) of issuer. (1)
5493003DTPH8AMMK4P51
c. Title of the issue or description of the investment.
NOBLE FINANCE CO SECURED 144A 02/28 11
d. CUSIP (if any).
65505JAA9
At least one of the following other identifiers:
- ISIN
US65505JAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4229.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4651.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0056966

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
11
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 228

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT DRILLING NORBE VIII/IX LTD
b. LEI (if any) of issuer. (1)
549300YNW6BY570L6488
c. Title of the issue or description of the investment.
ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35
d. CUSIP (if any).
675757AC2
At least one of the following other identifiers:
- ISIN
US675757AC26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
516553.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
287203.470000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3517007

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.35
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 229

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED
b. LEI (if any) of issuer. (1)
549300L7LF2PIRAWID66
c. Title of the issue or description of the investment.
ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/26 7.72
d. CUSIP (if any).
G6711KAD7
At least one of the following other identifiers:
- ISIN
USG6711KAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
804056.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
184932.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2264632

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-12-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.72
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 230

Item C.1. Identification of investment.

a. Name of issuer (if any).
ODEBRECHT OIL & GAS FINANCE LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000
d. CUSIP (if any).
67576JAB7
At least one of the following other identifiers:
- ISIN
US67576JAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
322137.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
322.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0003945

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-09
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 231

Item C.1. Identification of investment.

a. Name of issuer (if any).
OI SA (AKA: BRASIL TELECOM S/A)
b. LEI (if any) of issuer. (1)
254900YEMWCRRAGD4978
c. Title of the issue or description of the investment.
OI SA COMPANY GUAR 07/25 VAR
d. CUSIP (if any).
P7354PAA2
At least one of the following other identifiers:
- ISIN
USP7354PAA23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3513000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
275581.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3374687

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-07-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 232

Item C.1. Identification of investment.

a. Name of issuer (if any).
OPTEUM MORTGAGE ACCEPTANCE CORP 2006-2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2006 2 A1C
d. CUSIP (if any).
68384CAC0
At least one of the following other identifiers:
- ISIN
US68384CAC01

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
170619.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
66292.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0811804

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.38529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 233

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2
d. CUSIP (if any).
694308KB2
At least one of the following other identifiers:
- ISIN
US694308KB20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
457780.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5605847

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 234

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3
d. CUSIP (if any).
694308HL4
At least one of the following other identifiers:
- ISIN
US694308HL49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
827000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
623647.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.7637000

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.3
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 235

Item C.1. Identification of investment.

a. Name of issuer (if any).
PACIFIC GAS AND ELECTRIC COMPANY
b. LEI (if any) of issuer. (1)
1HNPXZSMMB7HMBMVBS46
c. Title of the issue or description of the investment.
PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45
d. CUSIP (if any).
694308GZ4
At least one of the following other identifiers:
- ISIN
US694308GZ44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
26733.520000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0327371

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.45
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 236

Item C.1. Identification of investment.

a. Name of issuer (if any).
AGPS BONDCO PLC
b. LEI (if any) of issuer. (1)
89450071QI2G8XS48K39
c. Title of the issue or description of the investment.
ADLER GROUP SA SR UNSECURED REGS 04/27 2.25
d. CUSIP (if any).
ACI1X8QD3
At least one of the following other identifiers:
- ISIN
XS2336188029

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
41482.120000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0507978

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 237

Item C.1. Identification of investment.

a. Name of issuer (if any).
PERU LNG SRL
b. LEI (if any) of issuer. (1)
254900F70J1LOALV5K70
c. Title of the issue or description of the investment.
PERU LNG SRL SR UNSECURED REGS 03/30 5.375
d. CUSIP (if any).
P7721BAE1
At least one of the following other identifiers:
- ISIN
USP7721BAE13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
159992.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1959217

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-03-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 238

Item C.1. Identification of investment.

a. Name of issuer (if any).
PRIME HEALTHCARE SERVICES INC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PRIME HEALTHCARE SERVICE SR SECURED 144A 11/25 7.25
d. CUSIP (if any).
74165HAB4
At least one of the following other identifiers:
- ISIN
US74165HAB42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
232000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
205489.200000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2516359

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 239

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROMOTORA DE INFORMACIONES SA (PRISA)
b. LEI (if any) of issuer. (1)
959800U3NGPXSCQHQW54
c. Title of the issue or description of the investment.
PROMOTORA DE INFORMACIONES SA 2022 EUR TERM LOAN
d. CUSIP (if any).
943TQNII1
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3915990
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1942068.360000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
2.3781985

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SPAIN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-30
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 240

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROVINCE OF BUENOS AIRES ARGENTINA
b. LEI (if any) of issuer. (1)
549300L6AYROPOTQ4L07
c. Title of the issue or description of the investment.
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
d. CUSIP (if any).
ACI11ZNP4
At least one of the following other identifiers:
- ISIN
ARPBUE3205N8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8630000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
21916.340000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0268381

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
73.6698
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 241

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROVINCE OF BUENOS AIRES ARGENTINA
b. LEI (if any) of issuer. (1)
549300L6AYROPOTQ4L07
c. Title of the issue or description of the investment.
PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR
d. CUSIP (if any).
P1910WRC5
At least one of the following other identifiers:
- ISIN
ARPBUE3205N8

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
71001000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
180310.810000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.2208032

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
73.6698
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 242

Item C.1. Identification of investment.

a. Name of issuer (if any).
PUERTO RICO GOVT
b. LEI (if any) of issuer. (1)
549300X44HXPLJU48U63
c. Title of the issue or description of the investment.
PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR
d. CUSIP (if any).
74514L3T2
At least one of the following other identifiers:
- ISIN
US74514L3T29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
420812.710000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
183579.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2248060

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PUERTO RICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 243

Item C.1. Identification of investment.

a. Name of issuer (if any).
PUERTO RICO GOVT
b. LEI (if any) of issuer. (1)
549300X44HXPLJU48U63
c. Title of the issue or description of the investment.
PUERTO RICO CMWLTH PRC 11/51 ADJUSTABLE VAR
d. CUSIP (if any).
74514L4G9
At least one of the following other identifiers:
- ISIN
US74514L4G98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
191755.040000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
64717.330000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0792509

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PUERTO RICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-11-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 244

Item C.1. Identification of investment.

a. Name of issuer (if any).
RBSSP RESECURITIZATION TRUST 2009-7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RBSSP RESECURITIZATION TRUST RBSSP 2009 7 9A3 144A
d. CUSIP (if any).
75524MBL3
At least one of the following other identifiers:
- ISIN
US75524MBL37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
904170.370000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
659793.010000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8079627

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 245

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ACCREDIT LOANS 2004-QA6
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 NB4
d. CUSIP (if any).
76110HH85
At least one of the following other identifiers:
- ISIN
US76110HH857

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
68523.770000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
58412.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0715301

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-12-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.193
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 246

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ACCREDIT LOANS 2006-QA1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A21
d. CUSIP (if any).
761118TB4
At least one of the following other identifiers:
- ISIN
US761118TB44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
344228.430000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
261362.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3200565

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.92992
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 247

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ACCREDIT LOANS 2006-QS14
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS14 2A1
d. CUSIP (if any).
761118JH2
At least one of the following other identifiers:
- ISIN
US761118JH24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
254942.480000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
92378.030000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1131234

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-09-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 248

Item C.1. Identification of investment.

a. Name of issuer (if any).
RESIDENTIAL ACCREDIT LOANS 2006-QS8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A2
d. CUSIP (if any).
75115AAB7
At least one of the following other identifiers:
- ISIN
US75115AAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
107947.710000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
88339.110000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1081774

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 249

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2014-1
b. LEI (if any) of issuer. (1)
549300V5D1W52HY8NO65
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25
d. CUSIP (if any).
76716XAA0
At least one of the following other identifiers:
- ISIN
US76716XAA00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
392916.780000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
397779.130000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4871084

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-07-06
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 250

Item C.1. Identification of investment.

a. Name of issuer (if any).
RIO OIL FINANCE TRUST SERIES 2014-1
b. LEI (if any) of issuer. (1)
549300V5D1W52HY8NO65
c. Title of the issue or description of the investment.
RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25
d. CUSIP (if any).
U76673AA7
At least one of the following other identifiers:
- ISIN
USU76673AA72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
123488.130000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
125016.300000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1530912

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-07-06
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 251

Item C.1. Identification of investment.

a. Name of issuer (if any).
ALTICE FINANCING SA
b. LEI (if any) of issuer. (1)
549300DIYGW8HVDF7Q17
c. Title of the issue or description of the investment.
ALTICE FINANCING SA SR SECURED 144A 08/29 5.75
d. CUSIP (if any).
02154CAH6
At least one of the following other identifiers:
- ISIN
US02154CAH60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
716314.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8771772

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 252

Item C.1. Identification of investment.

a. Name of issuer (if any).
RSA SECURITY (REDSTONE HOLDCO 2 LP)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REDSTONE HOLDCO 2 LP 2021 TERM LOAN
d. CUSIP (if any).
75774EAG0
At least one of the following other identifiers:
- ISIN
US75774EAG08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1233134.430000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
974946.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1938907

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.5677
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 253

Item C.1. Identification of investment.

a. Name of issuer (if any).
RUSSIAN GOVT
b. LEI (if any) of issuer. (1)
5493004EHVGF71PDBU58
c. Title of the issue or description of the investment.
RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625
d. CUSIP (if any).
X74344DS2
At least one of the following other identifiers:
- ISIN
XS0767473852

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
128375.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1572042

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
RUSSIAN FEDERATION
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-04-04
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.625
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 254

Item C.1. Identification of investment.

a. Name of issuer (if any).
SANDERS RE III LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SANDERS RE III LTD UNSECURED 144A 04/29 VAR
d. CUSIP (if any).
80000XAC3
At least one of the following other identifiers:
- ISIN
US80000XAC39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
228418.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2797147

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-09
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 255

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMBAC ASSURANCE CORPORATION
b. LEI (if any) of issuer. (1)
549300RYYRVPPB8NC636
c. Title of the issue or description of the investment.
AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1
d. CUSIP (if any).
023138AA8
At least one of the following other identifiers:
- ISIN
US023138AA88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12523.550000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
18425.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0225630

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2099-12-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.1
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 256

Item C.1. Identification of investment.

a. Name of issuer (if any).
SIERRA HAMILTON HOLDINGS CORPORATION
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SIERRA HAMILTON LLC 2ND LIEN NOTES
d. CUSIP (if any).
935ZLRII3
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
CORP00282
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23.360000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
23.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000286

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-12
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 257

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB PRIVATE EDUCATION LOAN TRUST 2015-A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A
d. CUSIP (if any).
78448P100
At least one of the following other identifiers:
- ISIN
US78448P1003

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
464382.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5686684

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 258

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB PRIVATE EDUCATION LOAN TRUST 2015-C
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C R 144A
d. CUSIP (if any).
78448R106
At least one of the following other identifiers:
- ISIN
US78448R1068

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
317115.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3883303

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-09-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 259

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB PRIVATE EDUCATION LOAN TRUST 2022-B
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A
d. CUSIP (if any).
83206NAF4
At least one of the following other identifiers:
- ISIN
US83206NAF42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
187.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
252154.230000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3087805

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-02-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 260

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOCIETE GENERALE SA
b. LEI (if any) of issuer. (1)
O2RNE8IBXP4R0TD8PU41
c. Title of the issue or description of the investment.
SOCIETE GENERALE SR UNSECURED 144A 01/29 VAR
d. CUSIP (if any).
83368RBR2
At least one of the following other identifiers:
- ISIN
US83368RBR21

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
200803.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2458979

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-01-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.446
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 261

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOCIETE GENERALE SA
b. LEI (if any) of issuer. (1)
O2RNE8IBXP4R0TD8PU41
c. Title of the issue or description of the investment.
SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR
d. CUSIP (if any).
83368RBS0
At least one of the following other identifiers:
- ISIN
US83368RBS04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
921488.180000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1284267

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
FRANCE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-01-10
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.691
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 262

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOFTBANK VISION FUND II
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOFTBANK VISION FUND II FIXED TERM LOAN
d. CUSIP (if any).
944YFGII6
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
G7741@AA8
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
843038.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
793761.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9720165

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 KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-12-21
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 263

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A
d. CUSIP (if any).
83611DAA6
At least one of the following other identifiers:
- ISIN
US83611DAA63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
154771.840000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44301.970000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0542509

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.96529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 264

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH COAST FUNDING 7A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUTH COAST FUNDING SCF 7A A1AN 144A
d. CUSIP (if any).
83743YAS2
At least one of the following other identifiers:
- ISIN
US83743YAS28

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11064288.380000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2131590.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.6102816

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-01-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.45425
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 265

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH COAST FUNDING 7A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUTH COAST FUNDING SCF 7A A1AV 144A
d. CUSIP (if any).
83743YAA1
At least one of the following other identifiers:
- ISIN
US83743YAA10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
377191.650000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
72667.860000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0889869

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-01-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.45425
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 266

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOUTH COAST FUNDING 7A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOUTH COAST FUNDING SCF 7A A1B 144A
d. CUSIP (if any).
83743YAB9
At least one of the following other identifiers:
- ISIN
US83743YAB92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15339.130000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2955.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0036188

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-01-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.45425
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 267

Item C.1. Identification of investment.

a. Name of issuer (if any).
SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR
d. CUSIP (if any).
00846NAA5
At least one of the following other identifiers:
- ISIN
US00846NAA54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
566799.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6940856

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2067-01-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.54243
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 268

Item C.1. Identification of investment.

a. Name of issuer (if any).
STEENBOK LUX FINCO 2 SARL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN FIXED RATE TL A2
d. CUSIP (if any).
935YNTII0
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3165687
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2439271.860000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
1745957.450000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
2.1380470

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 269

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJ RATE MTG LN 2006-3
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A
d. CUSIP (if any).
863579Y69
At least one of the following other identifiers:
- ISIN
US863579Y691

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
156597.660000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
94076.010000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1152027

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.62406
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 270

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJ RATE MTGE LOAN 2006-8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2
d. CUSIP (if any).
86361JAB6
At least one of the following other identifiers:
- ISIN
US86361JAB61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
131358.070000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
86741.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1062214

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.63551
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 271

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2005-18
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 1A1
d. CUSIP (if any).
863579WZ7
At least one of the following other identifiers:
- ISIN
US863579WZ70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34795.680000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24903.350000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0304959

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.63485
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 272

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2005-23
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1
d. CUSIP (if any).
863579L48
At least one of the following other identifiers:
- ISIN
US863579L482

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
194126.860000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
118040.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1445485

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.11507
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 273

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ADJUSTABLE RT MTGE LN 2005-9
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A2A
d. CUSIP (if any).
863579QX9
At least one of the following other identifiers:
- ISIN
US863579QX96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
739364.670000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
556422.340000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6813781

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.53795
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 274

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ASSET MTG INV INC 2005-AR8
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A
d. CUSIP (if any).
86359LRW1
At least one of the following other identifiers:
- ISIN
US86359LRW18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
106764.580000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
87172.810000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1067492

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.40529
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 275

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ASSET MTG INV INC 2006-AR1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR1 3A1
d. CUSIP (if any).
86359LTG4
At least one of the following other identifiers:
- ISIN
US86359LTG40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
156709.230000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
127588.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1562409

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.30529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 276

Item C.1. Identification of investment.

a. Name of issuer (if any).
STRUCTURED ASSET SEC CORP 2005-9XS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
STRUCTURED ASSET SECURITIES CO SASC 2005 9XS 2A1
d. CUSIP (if any).
86359DDS3
At least one of the following other identifiers:
- ISIN
US86359DDS36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13780.520000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13746.650000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0168337

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.29529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 277

Item C.1. Identification of investment.

a. Name of issuer (if any).
STUBHUB (PUG LLC)
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PUG LLC USD TERM LOAN
d. CUSIP (if any).
74530DAC9
At least one of the following other identifiers:
- ISIN
US74530DAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5805.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4237.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0051893

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-02-12
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.3403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 278

Item C.1. Identification of investment.

a. Name of issuer (if any).
SUNTRUST ADJR MRTG LN TR 2007-S1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A
d. CUSIP (if any).
855541AA6
At least one of the following other identifiers:
- ISIN
US855541AA68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
32940.830000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
24198.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0296329

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.07095
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 279

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 02/31 1.8
d. CUSIP (if any).
78486QAF8
At least one of the following other identifiers:
- ISIN
US78486QAF81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
280000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
159852.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1957500

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-02-02
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1.8
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 280

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 04/28 VAR
d. CUSIP (if any).
78486QAR2
At least one of the following other identifiers:
- ISIN
US78486QAR20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
100000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
60841.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0745041

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.345
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 281

Item C.1. Identification of investment.

a. Name of issuer (if any).
SVB FINANCIAL GROUP
b. LEI (if any) of issuer. (1)
549300D2KJ20JMXE7542
c. Title of the issue or description of the investment.
SVB FINANCIAL GROUP SR UNSECURED 04/33 VAR
d. CUSIP (if any).
78486QAS0
At least one of the following other identifiers:
- ISIN
US78486QAS03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
116180.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1422705

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-04-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.57
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 282

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYMPHONY CLO XIV LTD 2014-14A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SYMPHONY CLO LTD SYMP 2014 14A E 144A
d. CUSIP (if any).
87159QAW8
At least one of the following other identifiers:
- ISIN
US87159QAW87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
396168.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.4851364

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-14
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.39243
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 283

Item C.1. Identification of investment.

a. Name of issuer (if any).
SYNIVERSE HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300CYZBHMZC8VLL59
c. Title of the issue or description of the investment.
SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN
d. CUSIP (if any).
87168TAB7
At least one of the following other identifiers:
- ISIN
US87168TAB70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2086814.160000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1857911.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.2751426

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-05-13
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.8983
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 284

Item C.1. Identification of investment.

a. Name of issuer (if any).
TEAM HEALTH HOLDINGS INC
b. LEI (if any) of issuer. (1)
549300PVTQ4UDTTMQT11
c. Title of the issue or description of the investment.
TEAM HEALTH INC DEL TERM LOAN B
d. CUSIP (if any).
87817JAE8
At least one of the following other identifiers:
- ISIN
US87817JAE82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1079895.570000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
928710.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1372706

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-02-06
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.5903
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 285

Item C.1. Identification of investment.

a. Name of issuer (if any).
THARALDSON HOTEL PORTFOLIO TRUST 2018
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL E 144A
d. CUSIP (if any).
88327HAN3
At least one of the following other identifiers:
- ISIN
US88327HAN35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1204589.350000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1135482.660000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.3904779

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.19
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 286

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOBACCO SETTLEMENT FINANCE AUTHORITY
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0
d. CUSIP (if any).
88880LAB9
At least one of the following other identifiers:
- ISIN
US88880LAB99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
781136.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9565562

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Municipal

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-06-01
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 287

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOPAZ SOLAR FARMS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875
d. CUSIP (if any).
89054XAD7
At least one of the following other identifiers:
- ISIN
US89054XAD75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
152039.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
125509.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1536954

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 288

Item C.1. Identification of investment.

a. Name of issuer (if any).
TOPAZ SOLAR FARMS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75
d. CUSIP (if any).
89054XAC9
At least one of the following other identifiers:
- ISIN
US89054XAC92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1676820.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1593767.110000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9516793

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 289

Item C.1. Identification of investment.

a. Name of issuer (if any).
UKRAINE GOVT
b. LEI (if any) of issuer. (1)
6354001WLTJXOMEXPY07
c. Title of the issue or description of the investment.
UKRAINE GOVERNMENT SR UNSECURED 144A 01/32 4.375
d. CUSIP (if any).
ACI1J9SD5
At least one of the following other identifiers:
- ISIN
XS2010033186

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
89000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
16891.090000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0206843

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UKRAINE
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-01-27
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 290

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F020653
At least one of the following other identifiers:
- ISIN
US01F0206536

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-662071.740000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8107532

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 291

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F022659
At least one of the following other identifiers:
- ISIN
US01F0226591

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
150000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
129439.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1585077

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 292

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F030652
At least one of the following other identifiers:
- ISIN
US01F0306526

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1650000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1482154.080000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.8150013

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 293

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F032658
At least one of the following other identifiers:
- ISIN
US01F0326581

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
23800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22131210.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
27.1012154

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 294

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F040644
At least one of the following other identifiers:
- ISIN
US01F0406441

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1650000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1578205.510000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.9326230

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-04-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 295

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F042657
At least one of the following other identifiers:
- ISIN
US01F0426571

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1800000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1764194.980000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.1603801

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2052-05-12
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 296

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F060659
At least one of the following other identifiers:
- ISIN
US01F0606594

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3366386.690000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.1223760

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 297

Item C.1. Identification of investment.

a. Name of issuer (if any).
UMBS PASS THRU POOLS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE
d. CUSIP (if any).
01F062655
At least one of the following other identifiers:
- ISIN
US01F0626550

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
412093.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5046376

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2053-05-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 298

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED STATES GOVT
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
TREASURY BILL 04/23 0.00000
d. CUSIP (if any).
912796CV9
At least one of the following other identifiers:
- ISIN
US912796CV96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
830000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
827710.530000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.0135894

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. Treasury

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-04-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 299

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMSURG LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN
d. CUSIP (if any).
943TEZII7
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3922202
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2538032.110000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1888714.670000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.3128632

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
16.326
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 300

Item C.1. Identification of investment.

a. Name of issuer (if any).
AMSURG LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ENVISION HEALTHCARE CORPRTION 2022 TERM LOAN
d. CUSIP (if any).
03233AAB6
At least one of the following other identifiers:
- ISIN
US03233AAB61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1015384.620000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1005230.770000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2309754

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-04-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12.701
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 301

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6
d. CUSIP (if any).
91327AAB8
At least one of the following other identifiers:
- ISIN
US91327AAB89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1127000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
660703.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.8090780

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 302

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITI GROUP LP / UNITI GROUP FINANCE INC / CSL CAPITAL LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5
d. CUSIP (if any).
91327TAA9
At least one of the following other identifiers:
- ISIN
US91327TAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
440000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
427196.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5231314

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 303

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.
U.S. RENAL CARE, INC. 2019 TERM LOAN B
d. CUSIP (if any).
90290PAN4
At least one of the following other identifiers:
- ISIN
US90290PAN42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1089598.810000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
745013.190000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.9123208

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 304

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
US RENAL CARE INC 2021 TERM LOAN B
d. CUSIP (if any).
90290PAQ7
At least one of the following other identifiers:
- ISIN
US90290PAQ72

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
797472.180000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
545271.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6677232

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-06-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.375
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 305

Item C.1. Identification of investment.

a. Name of issuer (if any).
US RENAL CARE INC
b. LEI (if any) of issuer. (1)
54930058SS5MF69JGN89
c. Title of the issue or description of the investment.
US RENAL CARE INC SR UNSECURED 144A 07/27 10.625
d. CUSIP (if any).
07335BAA4
At least one of the following other identifiers:
- ISIN
US07335BAA44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2161000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
570885.830000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6990896

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.625
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 306

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD SR SECURED 04/28 8.25
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
USG9460GAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1015.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0012440

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 307

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALARIS LIMITED
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VALARIS LTD SR SECURED 144A 04/28 8.25
d. CUSIP (if any).
91889FAA9
At least one of the following other identifiers:
- ISIN
US91889FAA93

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1015.900000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0012440

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 308

Item C.1. Identification of investment.

a. Name of issuer (if any).
VALE SA
b. LEI (if any) of issuer. (1)
254900SMTWBX7RU2SR20
c. Title of the issue or description of the investment.
VALE SA SUBORDINATED 12/49 VAR
d. CUSIP (if any).
B011X9II2
At least one of the following other identifiers:
- ISIN
BRVALEDBS028

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
20000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
1460012.430000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
1.7878873

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-29
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.20163
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 309

Item C.1. Identification of investment.

a. Name of issuer (if any).
VENEZUELAN GOVT
b. LEI (if any) of issuer. (1)
529900XM8PJTJK5OJI77
c. Title of the issue or description of the investment.
REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25
d. CUSIP (if any).
922646AS3
At least one of the following other identifiers:
- ISIN
US922646AS37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
62000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6665.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0081618

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VENEZUELA (BOLIVARIAN REPUBLIC OF)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 310

Item C.1. Identification of investment.

a. Name of issuer (if any).
VENEZUELAN GOVT
b. LEI (if any) of issuer. (1)
529900XM8PJTJK5OJI77
c. Title of the issue or description of the investment.
REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25
d. CUSIP (if any).
P97475AP5
At least one of the following other identifiers:
- ISIN
USP97475AP55

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
440.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0005388

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VENEZUELA (BOLIVARIAN REPUBLIC OF)
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-10-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.25
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☒ Yes ☐ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 311

Item C.1. Identification of investment.

a. Name of issuer (if any).
VIKING CRUISES LTD
b. LEI (if any) of issuer. (1)
549300IJP90T4MV2GL84
c. Title of the issue or description of the investment.
VIKING CRUISES LTD SR SECURED 144A 05/25 13
d. CUSIP (if any).
92676XAE7
At least one of the following other identifiers:
- ISIN
US92676XAE76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1301000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1375365.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.6842308

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
13
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 312

Item C.1. Identification of investment.

a. Name of issuer (if any).
APIDOS CDO 2014-18A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
APIDOS CLO APID 2014 18A SUB 144A
d. CUSIP (if any).
03765EAE8
At least one of the following other identifiers:
- ISIN
US03765EAE86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
520.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0006368

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 313

Item C.1. Identification of investment.

a. Name of issuer (if any).
VOYAGER AVIATION HOLDINGS LLC
b. LEI (if any) of issuer. (1)
549300KHOKL1CX4NIJ92
c. Title of the issue or description of the investment.
VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5
d. CUSIP (if any).
92918XAA3
At least one of the following other identifiers:
- ISIN
US92918XAA37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2706000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2137740.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.6178122

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 314

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU MTGE P/T CERT 2007-HY2
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1
d. CUSIP (if any).
92926UAA9
At least one of the following other identifiers:
- ISIN
US92926UAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
175865.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
153242.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1876559

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.48937
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 315

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU MTGE P/T CERT 2007-HY7
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1
d. CUSIP (if any).
93364FAL5
At least one of the following other identifiers:
- ISIN
US93364FAL58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
47419.620000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
42814.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0524296

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.88441
c. Currently in default? ☒ Yes ☐ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 316

Item C.1. Identification of investment.

a. Name of issuer (if any).
WASHINGTON MUTUAL ASSET BACKED 2006-HE5
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1
d. CUSIP (if any).
93934XAB9
At least one of the following other identifiers:
- ISIN
US93934XAB91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
80772.420000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
30644.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0375266

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.96529
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 317

Item C.1. Identification of investment.

a. Name of issuer (if any).
WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL C 144A
d. CUSIP (if any).
95003WAG1
At least one of the following other identifiers:
- ISIN
US95003WAG15

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1065000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
939264.400000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1501950

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-12-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.92766
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 318

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESCO AIRCRAFT HOLDINGS INC
b. LEI (if any) of issuer. (1)
529900P5VTXZS191P208
c. Title of the issue or description of the investment.
WESCO AIRCRAFT HOLDINGS SR SECURED 144A 11/26 10.5
d. CUSIP (if any).
950814AA1
At least one of the following other identifiers:
- ISIN
US950814AA18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4430505.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3943149.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.8286623

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
10.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 319

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTMORELAND MINING HOLDINGS LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WESTMORELAND COAL CO PIK TERM LOAN
d. CUSIP (if any).
96106JAE9
At least one of the following other identifiers:
- ISIN
US96106JAE91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1294319.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
975049.420000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.1940162

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☒ Yes ☐ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 320

Item C.1. Identification of investment.

a. Name of issuer (if any).
WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C17
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C17 XB
d. CUSIP (if any).
92938GAH1
At least one of the following other identifiers:
- ISIN
US92938GAH11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
30000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
53478.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0654876

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.241133
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 321

Item C.1. Identification of investment.

a. Name of issuer (if any).
WINDSTREAM SERVICES II LLC
b. LEI (if any) of issuer. (1)
549300KT9GVEBYCD2N29
c. Title of the issue or description of the investment.
WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B
d. CUSIP (if any).
97381JAE3
At least one of the following other identifiers:
- ISIN
US97381JAE38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
233324.950000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
212325.700000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.2600077

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-21
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.157
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 322

Item C.1. Identification of investment.

a. Name of issuer (if any).
YAHOO (AKA: AP CORE HOLDINGS II LLC)
b. LEI (if any) of issuer. (1)
549300PND8ZZ4RWYRZ56
c. Title of the issue or description of the investment.
AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2
d. CUSIP (if any).
00187GAD1
At least one of the following other identifiers:
- ISIN
US00187GAD16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
430000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
419609.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.5138406

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Loan
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-01
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.3403
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 323

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FIXED INC CLEARING CORP.REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
85748R009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1053000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1053000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.2894722

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☒ Yes ☐ No
ii. Value
Fixed Income Clearing Corp
c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
2.2000000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11123000.000000 United States Dollar 1074109.070000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 324

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-416859.990000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-422617.060000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5175241

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.9188000
e. Maturity date.
2023-05-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1559504.290000 United States Dollar 527790.070000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 325

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-152335.720000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-154308.460000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1889615

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5500000
e. Maturity date.
2023-07-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1217030.000000 United States Dollar 175148.970000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 326

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1920894.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1926475.260000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.3591037

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2300000
e. Maturity date.
2023-07-14
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12525000.000000 United States Dollar 2321055.750000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 327

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-171912.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-172411.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2111299

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2300000
e. Maturity date.
2023-07-14
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1200000.000000 United States Dollar 196797.800000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 328

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-431231.910000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-433343.270000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5306591

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5700000
e. Maturity date.
2023-07-31
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1572000.000000 United States Dollar 477585.680000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 329

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-146947.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-147658.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1808178

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2800000
e. Maturity date.
2023-07-31
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1715136.000000 United States Dollar 211412.080000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 330

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-345186.610000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-345666.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4232922

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.0000000
e. Maturity date.
2023-05-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1392916.780000 United States Dollar 397779.130000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 331

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-332218.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-332697.870000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.4074118

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2000000
e. Maturity date.
2023-05-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#188111000.000000 Argentina Peso 85697251.010000 Argentina Peso

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 332

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-214283.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-214595.490000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2627872

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2500000
e. Maturity date.
2023-05-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11075218.000000 United States Dollar 267838.670000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 333

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-636779.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-637707.640000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7809176

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES LLCZBUT11V806EZRVTWT807

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2500000
e. Maturity date.
2023-05-05
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12498091.000000 United States Dollar 751430.090000 United States Dollar

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 334

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO JPM CHASE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLQ009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-847139.960000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-855785.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.0479693

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES LLCZBUT11V806EZRVTWT807

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.0230000
e. Maturity date.
2023-07-31
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11204589.350000 United States Dollar 1135482.660000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 335

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DEUTSCHE REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NTK000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-102867.790000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-111676.520000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.1367557

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
3.1300000
e. Maturity date.
2025-03-21
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1130000.000000 Euro Member Countries 110825.000000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 336

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JPM CHASE REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NTU008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1616933.120000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-1761618.980000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-2.1572257

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
3.0500000
e. Maturity date.
2023-05-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11800000.000000 Euro Member Countries 1738052.550000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 337

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JPM CHASE REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NTU008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-626375.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-685829.660000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.8398464

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
3.0500000
e. Maturity date.
2024-09-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1900000.000000 Euro Member Countries 839839.800000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 338

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JPM CHASE REVERSE REPO EUR ZCP
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
971NTU008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-624150.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-681248.420000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.8342363

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1J.P. MORGAN SECURITIES PLCK6Q0W1PS1L1O4IQL9C32

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
2.5000000
e. Maturity date.
2024-10-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1760000.000000 Euro Member Countries 697448.840000 Euro Member Countries Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 339

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-591175.530000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-598830.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7333102

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BARCLAYS BANK PLCG5GSEF7VJP5I7OUK5573

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.6850300
e. Maturity date.
2023-04-14
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1923365.510000 United States Dollar 673800.130000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 340

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-185681.500000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-188053.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2302841

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BARCLAYS BANK PLCG5GSEF7VJP5I7OUK5573

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.0500000
e. Maturity date.
2023-07-19
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#130465938.320000 United States Dollar 267617.710000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 341

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BARCLAYS REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLB002
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2257439.170000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2281695.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.7940956

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BARCLAYS BANK PLCG5GSEF7VJP5I7OUK5573

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.1400000
e. Maturity date.
2023-08-30
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#15625499.410000 United States Dollar 2772099.520000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 342

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-591721.200000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-600542.540000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7354063

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.1688000
e. Maturity date.
2023-05-08
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1900000.000000 United States Dollar 850607.280000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 343

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-184141.060000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-186791.560000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2287393

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.1688000
e. Maturity date.
2023-05-10
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1250000.000000 United States Dollar 267452.050000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 344

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO DEUTSCHE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZLG001
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1474316.430000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1479546.780000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.8118085

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1THE BANK OF NEW YORK MELLON (INTERNATIONAL) LIMITED549300KP56LL8NKKFL47

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.3857600
e. Maturity date.
2023-05-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#111064288.400000 United States Dollar 2131590.480000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 345

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-714066.600000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-717080.160000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8781148

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.2900000
e. Maturity date.
2023-07-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11200000.000000 United States Dollar 1118014.920000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 346

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-310876.300000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-312188.290000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3822964

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
6.2900000
e. Maturity date.
2023-07-07
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1411538.660000 United States Dollar 397929.530000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 347

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-443639.050000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-446640.140000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5469421

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9700000
e. Maturity date.
2023-04-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1500000.000000 United States Dollar 457780.860000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 348

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-857516.020000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-858038.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.0507277

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4800000
e. Maturity date.
2023-05-30
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11200000.000000 United States Dollar 1087408.930000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 349

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO ROYAL BANK OF CAN
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973MHZ000
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-752191.250000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-754642.340000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.9241123

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1RBC Capital Markets, LLC549300LCO2FLSSVFFR64

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.7800000
e. Maturity date.
2023-07-13
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1976192.220000 United States Dollar 919282.750000 United States Dollar Private label collateralized mortgage obligations

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 350

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CITIGROUP REPO REPO 5807
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
795991009
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
18200000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
18200000.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
22.2871730

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☒ Repurchase ☐ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CITIGROUP INC.6SHGI4ZSSLCXXQSBB395

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.9000000
e. Maturity date.
2023-04-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#120308000.000000 United States Dollar 18589752.710000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 351

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-138539.320000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-140294.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1718006

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4300000
e. Maturity date.
2023-04-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1200000.000000 United States Dollar 159181.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 352

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1476296.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1490660.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.8254179

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5600000
e. Maturity date.
2023-07-28
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11647881.000000 United States Dollar 1566261.450000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 353

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NATEXIS BANQUE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
922VXD003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-646671.330000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-651397.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7976824

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1The Bank of New York MellonHPFHU0OQ28E4N0NFVK49

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.3700000
e. Maturity date.
2023-08-11
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1861000.000000 United States Dollar 650381.020000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 354

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-105380.050000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-106627.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1305725

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SG AMERICAS SECURITIES, LLC549300F35UE0BOM1WJ55

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2600000
e. Maturity date.
2023-05-12
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1123488.130000 United States Dollar 125016.300000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 355

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO SOCIETE GENERALE REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
988FYT003
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-152861.670000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-154085.360000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1886883

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SOCIETE GENERALEO2RNE8IBXP4R0TD8PU41

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.4000000
e. Maturity date.
2023-08-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1200000.000000 United States Dollar 138919.050000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 356

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO BNP PARIBAS REPU REGIONS BANK
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
935IFH008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3306365.290000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3383072.960000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-4.1428095

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
4.8000000
e. Maturity date.
2023-04-11
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14348000.000000 United States Dollar 3869720.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 357

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO MERRILL LYNCH
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
913ZLS005
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-588000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-588966.610000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.7212308

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MERRILL LYNCH INTERNATIONALGGDZP1UYGU9STUHRDP48

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.3800000
e. Maturity date.
2023-07-21
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1700000.000000 United States Dollar 740012.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 358

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO NOMURA
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
913ZLV008
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-284460.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-284894.600000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.3488734

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Nomura Securities International, Inc.OXTKY6Q8X53C9ILVV871

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5000000
e. Maturity date.
2025-03-23
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1600000.000000 United States Dollar 312000.050000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 359

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO PARIBAS
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
913ZLW006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-479892.490000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-480665.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.5886082

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP PARIBASR0MUWSFPU8MPRO8K5P83

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2700000
e. Maturity date.
2023-07-21
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1700000.000000 United States Dollar 557133.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 360

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO THE BANK OF NOVA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973VSR006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-230057.060000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-230439.070000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.2821888

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SCOTIA CAPITAL (USA) INC.549300BLWPABP1VNME36

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5400000
e. Maturity date.
2023-09-20
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1315000.000000 United States Dollar 263006.100000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 361

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO THE BANK OF NOVA REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
973VSR006
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-113576.360000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-114797.170000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.1405772

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1SCOTIA CAPITAL (USA) INC.549300BLWPABP1VNME36

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5400000
e. Maturity date.
2023-10-19
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1146980.000000 United States Dollar 121333.460000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 362

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO WARBURG REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZMB001
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-698957.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-706762.800000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.8654805

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS Securities LLCT6FIZBDPKLYJKFCRVK44

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.2900000
e. Maturity date.
2023-04-17
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11000000.000000 United States Dollar 834940.000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 363

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
REVERSE REPO WARBURG REVERSE REPO
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
913ZMB001
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1474525.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1487937.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.8220830

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☒ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18)☐ Repurchase ☒ Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. ☐ Yes ☒ No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1UBS Securities LLCT6FIZBDPKLYJKFCRVK44

c. Tri-party? ☐ Yes ☒ No
d. Repurchase rate.
5.5500000
e. Maturity date.
2023-08-03
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12200000.000000 United States Dollar 1680957.500000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 364

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ABX.HE.AA.06-1 SP GST
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0ALT9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-61279.680000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0750413

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1GOLDMAN SACHS INTERNATIONALW22LROWP2IHZNBB6K528

2. The reference instrument is an index or custom basket. (26)
Index name.
ABX.HE.AA.06-1
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
0.320000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2045-07-25
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-155800.280000
ISO Currency Code.
United States Dollar
iv. Notional amount.
782922.210000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
94520.600000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 365

Item C.1. Identification of investment.

a. Name of issuer (if any).
CAYENNE AVIATION LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VOYAGER AVIATION HLD PFD VOYAGER AVIATION 92918X9A5
d. CUSIP (if any).
942UCF900
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
AEP

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2260.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
523755.930000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6413758

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 366

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ABX.HE.PENAAA.07-1 SP GST
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0ALW2
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-67713.040000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.0829194

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1GOLDMAN SACHS INTERNATIONALW22LROWP2IHZNBB6K528

2. The reference instrument is an index or custom basket. (26)
Index name.
ABX.HE.PENAAA.07-1
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
0.090000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2037-08-25
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-240147.600000
ISO Currency Code.
United States Dollar
iv. Notional amount.
597554.120000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
172434.560000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 367

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN SOLD USD 20230410
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
23COKBCB89J
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
768.140000
f. Exchange rate.
3.764500
g. Percentage value compared to net assets of the Fund.
0.0009406

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
483093.040000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1821502.320000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2023-04-10
iv. Unrealized appreciation or depreciation. (24)
768.140000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 368

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BILLS 05/23 0.00000
d. CUSIP (if any).
ACI28ZVJ0
At least one of the following other identifiers:
- ISIN
ARARGE520C57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21102101.660000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
51648.340000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0632470

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-19
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 369

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN BOUGHT USD 20230502
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
23COKBCBZK3
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-909.790000
f. Exchange rate.
3.770200
g. Percentage value compared to net assets of the Fund.
-0.0011141

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
1821502.320000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
482223.370000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-909.790000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 370

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD TWD BOUGHT USD 20230621
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
23CHKBBR8QF
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Taiwan New Dollar
e. Value. (4)
-757.220000
f. Exchange rate.
30.201800
g. Percentage value compared to net assets of the Fund.
-0.0009273

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
TAIWAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Bank of America, National AssociationB4TYDEB6GKMZO031MB27

i. Amount and description of currency sold.
Amount of currency sold.
2006700.000000
Description of currency sold.
Taiwan New Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
65685.770000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
-757.220000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 371

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BILLS 09/23 0.00000
d. CUSIP (if any).
ACI28ZVN1
At least one of the following other identifiers:
- ISIN
ARARGE520CV7

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
33570894.390000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
80227.670000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0982444

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-18
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 372

Item C.1. Identification of investment.

a. Name of issuer (if any).
CBL & ASSOCIATES PROPERTIES INC
b. LEI (if any) of issuer. (1)
529900EIVFBRS4PUBZ13
c. Title of the issue or description of the investment.
CBL + ASSOCIATES PROPERTIES REIT USD.01
d. CUSIP (if any).
124830878
At least one of the following other identifiers:
- ISIN
US1248308785

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2842.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
72868.880000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0892330

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-common
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 373

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT ZAR SOLD USD 20230517
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
23CHKBBR9WX
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
South Africa Rand
e. Value. (4)
294.540000
f. Exchange rate.
17.872400
g. Percentage value compared to net assets of the Fund.
0.0003607

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SOUTH AFRICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BARCLAYS BANK PLCG5GSEF7VJP5I7OUK5573

i. Amount and description of currency sold.
Amount of currency sold.
9078.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
167509.980000
Description of currency purchased.
South Africa Rand
iii. Settlement date.
2023-05-17
iv. Unrealized appreciation or depreciation. (24)
294.540000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 374

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 07/30 VAR
d. CUSIP (if any).
ACI1QL1T4
At least one of the following other identifiers:
- ISIN
ARARGE3209S6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
512218.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
129335.050000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1583798

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 375

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT AUD SOLD USD 20230502
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
23CWKBBN7BX
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Australia Dollar
e. Value. (4)
181.860000
f. Exchange rate.
1.494500
g. Percentage value compared to net assets of the Fund.
0.0002227

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
AUSTRALIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
197301.770000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
295140.000000
Description of currency purchased.
Australia Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
181.860000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 376

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT BRL SOLD USD 20230503
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
23CWKBB9XD6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
95.200000
f. Exchange rate.
5.093300
g. Percentage value compared to net assets of the Fund.
0.0001166

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
365000.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1859553.670000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2023-05-03
iv. Unrealized appreciation or depreciation. (24)
95.200000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 377

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 07/35 VAR
d. CUSIP (if any).
ACI1QL1M9
At least one of the following other identifiers:
- ISIN
ARARGE3209T4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
563000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
138503.630000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1696074

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 378

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230502
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
23CWKBBQWVN
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-126.510000
f. Exchange rate.
0.920600
g. Percentage value compared to net assets of the Fund.
-0.0001549

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
50091.760000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
46000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-126.510000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 379

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA BONDS 10/26 15.5
d. CUSIP (if any).
ACI0QD081
At least one of the following other identifiers:
- ISIN
ARARGE4502K0

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8480000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Argentina Peso
e. Value. (4)
6363.510000
f. Exchange rate.
410.840000
g. Percentage value compared to net assets of the Fund.
0.0077926

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-10-17
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
15.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 380

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR
d. CUSIP (if any).
040114HU7
At least one of the following other identifiers:
- ISIN
US040114HU71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1597111.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
498254.710000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.6101477

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-01-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.875
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 381

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD IDR BOUGHT USD 20230621
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
23ARKBBZ95W
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
109.620000
f. Exchange rate.
15024.766700
g. Percentage value compared to net assets of the Fund.
0.0001342

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
726903892.000000
Description of currency sold.
Indonesia Rupiah
ii. Amount and description of currency purchased.
Amount of currency purchased.
48490.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
109.620000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 382

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1
d. CUSIP (if any).
040114HX1
At least one of the following other identifiers:
- ISIN
US040114HX11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
96645.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
26988.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0330488

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-09
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
1
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 383

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD TWD BOUGHT USD 20230621
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
23CGKBB54S7
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Taiwan New Dollar
e. Value. (4)
-1780.610000
f. Exchange rate.
30.201800
g. Percentage value compared to net assets of the Fund.
-0.0021805

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
TAIWAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
4958193.000000
Description of currency sold.
Taiwan New Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
162388.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
-1780.610000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 384

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD TWD BOUGHT USD 20230621
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
23CGKBBV0FT
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Taiwan New Dollar
e. Value. (4)
-1293.890000
f. Exchange rate.
30.201800
g. Percentage value compared to net assets of the Fund.
-0.0015845

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
TAIWAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BNP Paribas S.A.N/A

i. Amount and description of currency sold.
Amount of currency sold.
3944988.000000
Description of currency sold.
Taiwan New Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
129326.920000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
-1293.890000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 385

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOMBARDIER INC SNR S* ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC0KW65
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16737.720000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0204965

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
BOMBARDIER INC
Title of issue.
BOMBARDIER INC SR UNSEC REGS
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
USC10602AJ68
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2027-06-20
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-25000.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
200000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
41737.720000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 386

Item C.1. Identification of investment.

a. Name of issuer (if any).
ARGENTINA GOVT
b. LEI (if any) of issuer. (1)
549300KPBYGYF7HCHO27
c. Title of the issue or description of the investment.
REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR
d. CUSIP (if any).
040114HV5
At least one of the following other identifiers:
- ISIN
US040114HV54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
904980.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
254299.380000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.3114074

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
ARGENTINA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-07-09
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.5
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 387

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
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
23CTKBBPH8K
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
94.760000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0001160

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
57383.730000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
53000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
94.760000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 388

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT GBP SOLD USD 20230404
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
23CNKBBS5BN
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
969.490000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.0011872

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
92784.060000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
76000.000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
969.490000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 389

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN SOLD USD 20230427
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
22DQKBB7N91
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
4016.130000
f. Exchange rate.
3.768900
g. Percentage value compared to net assets of the Fund.
0.0049180

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
83962.580000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
331583.340000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2023-04-27
iv. Unrealized appreciation or depreciation. (24)
4016.130000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 390

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
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
23CGKBBNRPM
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-42015.830000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0514513

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
938000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
1115100.310000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-42015.830000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 391

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
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
23CJKBBXGXH
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-2203.680000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0026986

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
155000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
189004.210000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-2203.680000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 392

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD IDR BOUGHT USD 20230621
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
23ARKBBZ96Q
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
48.320000
f. Exchange rate.
15024.766700
g. Percentage value compared to net assets of the Fund.
0.0000592

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
375974948.000000
Description of currency sold.
Indonesia Rupiah
ii. Amount and description of currency purchased.
Amount of currency purchased.
25072.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
48.320000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 393

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN BOUGHT USD 20230410
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
22KEKBCF00C
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-28485.600000
f. Exchange rate.
3.764500
g. Percentage value compared to net assets of the Fund.
-0.0348826

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
1821502.320000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
455375.580000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-10
iv. Unrealized appreciation or depreciation. (24)
-28485.600000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 394

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD PEN BOUGHT USD 20230515
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
22KGKBB2PSJ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
-2926.160000
f. Exchange rate.
3.773300
g. Percentage value compared to net assets of the Fund.
-0.0035833

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Citibank, National AssociationE57ODZWZ7FF32TWEFA76

i. Amount and description of currency sold.
Amount of currency sold.
225037.960000
Description of currency sold.
Peru Sol
ii. Amount and description of currency purchased.
Amount of currency purchased.
56713.200000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-15
iv. Unrealized appreciation or depreciation. (24)
-2926.160000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 395

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT AUD SOLD USD 20230404
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
23BQKBB4B7F
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Australia Dollar
e. Value. (4)
-586.180000
f. Exchange rate.
1.496000
g. Percentage value compared to net assets of the Fund.
-0.0007178

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
AUSTRALIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
73391.760000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
108917.000000
Description of currency purchased.
Australia Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-586.180000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 396

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT BRL SOLD USD 20230705
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
23CKKBB85XW
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
2891.340000
f. Exchange rate.
5.155400
g. Percentage value compared to net assets of the Fund.
0.0035406

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
56687.040000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
307147.390000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2023-07-05
iv. Unrealized appreciation or depreciation. (24)
2891.340000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 397

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
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
23CTKBBRDWR
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
21508.610000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0263388

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
10120734.400000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
9352000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
21508.610000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 398

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD BRL BOUGHT USD 20230404
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
23CKKBB85WM
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-2947.620000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0036096

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
302255.300000
Description of currency sold.
Brazil Real
ii. Amount and description of currency purchased.
Amount of currency purchased.
56687.040000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-2947.620000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 399

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230502
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
23CTKBBRDMX
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-21182.770000
f. Exchange rate.
0.920600
g. Percentage value compared to net assets of the Fund.
-0.0259398

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

i. Amount and description of currency sold.
Amount of currency sold.
9352000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
10136969.470000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-21182.770000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 400

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ESKOM GG LOAN SNR EM SP DUB
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
SWPCESK17
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
155.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0001898

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1DEUTSCHE BANK AKTIENGESELLSCHAFT7LTWFZYICNSX8D621K86

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
ESKOM HOLDINGS SOC LTD
At least one of the following other identifiers:
- Ticker (if CUSIP and ISIN are not available).
ESKOM
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.
4.650000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2029-06-30
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
400000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
155.000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 401

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FORD MOTOR CREDIT COMPANY LLC SNR S* ICE
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
EZHJ8LK5D907

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
63110.250000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0772829

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Intercontinental Exchange5493000F4ZO33MV32P92

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
FORD MOTOR CREDIT COMPANY LLC
Title of issue.
FORD MOTOR CREDIT CO LLC
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US345397YG20
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☒ Fixed ☐ Floating ☐ Other
Receipts: Fixed rate.
5.000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2027-06-20
iii. Upfront payments or receipts
Upfront payments.
83466.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
800000.000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-20355.750000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 402

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT BRL SOLD USD 20230404
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
22LMKBB96V6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
101293.910000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
0.1240415

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
1442143.640000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
7822836.050000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
101293.910000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 403

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN SOLD USD 20230503
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
22JUKBCDN1N
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
9232.890000
f. Exchange rate.
3.770400
g. Percentage value compared to net assets of the Fund.
0.0113063

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
125876.920000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
509423.900000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2023-05-03
iv. Unrealized appreciation or depreciation. (24)
9232.890000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 404

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT PEN SOLD USD 20230510
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
22KFKBCCSZ0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Peru Sol
e. Value. (4)
17242.130000
f. Exchange rate.
3.772100
g. Percentage value compared to net assets of the Fund.
0.0211142

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
PERU
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
314390.270000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1250958.870000
Description of currency purchased.
Peru Sol
iii. Settlement date.
2023-05-10
iv. Unrealized appreciation or depreciation. (24)
17242.130000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 405

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD BRL BOUGHT USD 20230404
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
23CWKBB7QWH
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-3630.440000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0044457

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
7822836.050000
Description of currency sold.
Brazil Real
ii. Amount and description of currency purchased.
Amount of currency purchased.
1539807.110000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-3630.440000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 406

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD TWD BOUGHT USD 20230620
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
23CFKBB53HH
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Taiwan New Dollar
e. Value. (4)
-562.030000
f. Exchange rate.
30.205200
g. Percentage value compared to net assets of the Fund.
-0.0006882

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
TAIWAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
1823517.000000
Description of currency sold.
Taiwan New Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
59809.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-20
iv. Unrealized appreciation or depreciation. (24)
-562.030000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 407

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD TWD BOUGHT USD 20230620
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
23CFKBBN761
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Taiwan New Dollar
e. Value. (4)
-330.300000
f. Exchange rate.
30.205200
g. Percentage value compared to net assets of the Fund.
-0.0004045

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
TAIWAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Goldman Sachs Bank USAKD3XUN7C6T14HNAYLU02

i. Amount and description of currency sold.
Amount of currency sold.
1094584.000000
Description of currency sold.
Taiwan New Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
35908.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-20
iv. Unrealized appreciation or depreciation. (24)
-330.300000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 408

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
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
23CNKBBS5N0
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
9570.160000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0117193

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
746326.270000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
697000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
9570.160000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 409

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT GBP SOLD USD 20230404
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
23CQKBBPL2D
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
393.870000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.0004823

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
106929.270000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
87000.000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
393.870000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 410

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT IDR SOLD USD 20230627
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
23BMKBB3H6W
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
352.150000
f. Exchange rate.
15026.366700
g. Percentage value compared to net assets of the Fund.
0.0004312

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
28505.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
433618060.000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2023-06-27
iv. Unrealized appreciation or depreciation. (24)
352.150000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 411

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT IDR SOLD USD 20230627
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
23BMKBBP2RP
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
785.850000
f. Exchange rate.
15026.366700
g. Percentage value compared to net assets of the Fund.
0.0009623

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
57009.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
868446602.000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2023-06-27
iv. Unrealized appreciation or depreciation. (24)
785.850000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 412

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT NOK SOLD USD 20230516
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
23BIKBB68CB
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Norway Krone
e. Value. (4)
-14960.690000
f. Exchange rate.
10.449600
g. Percentage value compared to net assets of the Fund.
-0.0183204

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
NORWAY
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
441286.710000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
4454920.400000
Description of currency purchased.
Norway Krone
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
-14960.690000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 413

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT ZAR SOLD USD 20230517
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
23CGKBB41Z6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
South Africa Rand
e. Value. (4)
661.700000
f. Exchange rate.
17.872400
g. Percentage value compared to net assets of the Fund.
0.0008103

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SOUTH AFRICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
14150.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
264721.030000
Description of currency purchased.
South Africa Rand
iii. Settlement date.
2023-05-17
iv. Unrealized appreciation or depreciation. (24)
661.700000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 414

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
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
23CEKBBPW10
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-2504.910000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0030674

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
153000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
163423.570000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-2504.910000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 415

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
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
23CJKBBW44Q
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-2588.660000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0031700

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
232000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
249015.320000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-2588.660000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 416

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
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
23CLKBBV8H9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-1191.580000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0014592

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
52000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
55202.410000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-1191.580000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 417

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD EUR BOUGHT USD 20230404
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
23CSKBBSLWQ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
-396.840000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
-0.0004860

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
53000.000000
Description of currency sold.
Euro Member Countries
ii. Amount and description of currency purchased.
Amount of currency purchased.
57081.650000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-396.840000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 418

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230404
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
23CAKBBVQ7K
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-1430.640000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
-0.0017519

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
55000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
66417.320000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-1430.640000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 419

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD IDR BOUGHT USD 20230621
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
23BDKBBZ5X4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
-3793.900000
f. Exchange rate.
15024.766700
g. Percentage value compared to net assets of the Fund.
-0.0046459

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
4073483264.000000
Description of currency sold.
Indonesia Rupiah
ii. Amount and description of currency purchased.
Amount of currency purchased.
267324.010000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
-3793.900000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 420

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD JPY BOUGHT USD 20230516
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
23CJKBBV67W
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Japan Yen
e. Value. (4)
-2097.580000
f. Exchange rate.
131.971300
g. Percentage value compared to net assets of the Fund.
-0.0025686

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JAPAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1HSBC BANK PLCMP6I5ZYZBEU3UXPYFY54

i. Amount and description of currency sold.
Amount of currency sold.
32100000.000000
Description of currency sold.
Japan Yen
ii. Amount and description of currency purchased.
Amount of currency purchased.
241137.120000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
-2097.580000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 421

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS S A EXP 05DEC25
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445091858

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3580.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
25060.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0306877

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Warrant
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT JACKSON HOLDINGS SA
Title of issue.
INTELSAT JACKSON HOLDINGS SA
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
9844VD984
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2025-12-05
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
25060.000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 422

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT JACKSON HOLDINGS S A RIGHTS
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445092583

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3671.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22943.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0280962

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Warrant
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT JACKSON HOLDINGS SA
Title of issue.
INTELSAT JACKSON HOLDINGS SA
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
9844VD984
If other identifier provided, indicate the type of identifier used.
Internal ID
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
0.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2025-12-05
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
22943.750000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 423

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT EMERGENCE SA CALL EXP 17FEB27
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445094365

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
49.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0000600

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Warrant
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT SA
Title of issue.
INTELSAT SA/LUXEMBOURG
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
LU2445093128
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
77.220000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2027-02-17
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
-761949.790000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 424

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
INTELSAT EMERGENCE SA CALL EXP17FEB27
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
LU2445093987

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
187.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
420.750000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0005152

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
LUXEMBOURG
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☐ 2 ☒ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Warrant
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Luxembourg Stock ExchangeN/A

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
INTELSAT SA
Title of issue.
INTELSAT SA/LUXEMBOURG
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
LU2445093128
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
60.150000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2027-02-17
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
-677.870000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 425

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT ZAR SOLD USD 20230517
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
23CIKBB8VVF
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
South Africa Rand
e. Value. (4)
381.280000
f. Exchange rate.
17.872400
g. Percentage value compared to net assets of the Fund.
0.0004669

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SOUTH AFRICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

i. Amount and description of currency sold.
Amount of currency sold.
16307.330000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
298265.960000
Description of currency purchased.
South Africa Rand
iii. Settlement date.
2023-05-17
iv. Unrealized appreciation or depreciation. (24)
381.280000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 426

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
LBMLT 2003-3 M3 SP BOA
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SWPC32331
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
324.240000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0003971

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BANK OF AMERICA CORPORATION9DJT3UXIJIZJI4WXO774

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
LONG BEACH MORTGAGE LOAN TRUST 2003-3
Title of issue.
LBMLT 2003-3 M3 1MLIB+350
At least one of the following other identifiers:
- ISIN (if CUSIP is not available).
US542514EC44
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.
6.250000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☐ Floating ☒ Other
Description of Other Payments
Single Leg Swap

ii. Termination or maturity date.
2033-07-25
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
102552.860000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
324.240000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 427

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT AUD SOLD USD 20230404
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
23BRKBB0KXZ
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Australia Dollar
e. Value. (4)
-257.340000
f. Exchange rate.
1.496000
g. Percentage value compared to net assets of the Fund.
-0.0003151

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
AUSTRALIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
44845.630000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
66704.000000
Description of currency purchased.
Australia Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-257.340000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 428

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT BRL SOLD USD 20230404
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
23CWKBB7QV6
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
3491.280000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
0.0042753

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
1480786.940000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
7522989.950000
Description of currency purchased.
Brazil Real
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
3491.280000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 429

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT EUR SOLD USD 20230404
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
23CAKBBP8XW
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
960.480000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.0011762

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
N/A
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
65194.010000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
61000.000000
Description of currency purchased.
Euro Member Countries
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
960.480000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 430

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT IDR SOLD USD 20230627
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
23BNKBBPXG1
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
796.190000
f. Exchange rate.
15026.366700
g. Percentage value compared to net assets of the Fund.
0.0009750

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
75181.190000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1141663961.000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2023-06-27
iv. Unrealized appreciation or depreciation. (24)
796.190000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 431

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD BRL BOUGHT USD 20230404
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
23BPKBB6GTM
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Brazil Real
e. Value. (4)
-27506.060000
f. Exchange rate.
5.068500
g. Percentage value compared to net assets of the Fund.
-0.0336831

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BRAZIL
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
7522989.950000
Description of currency sold.
Brazil Real
ii. Amount and description of currency purchased.
Amount of currency purchased.
1456772.160000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
-27506.060000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 432

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD JPY BOUGHT USD 20230516
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
23BNKBBP98W
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Japan Yen
e. Value. (4)
-340.360000
f. Exchange rate.
131.971300
g. Percentage value compared to net assets of the Fund.
-0.0004168

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JAPAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

i. Amount and description of currency sold.
Amount of currency sold.
12800000.000000
Description of currency sold.
Japan Yen
ii. Amount and description of currency purchased.
Amount of currency purchased.
96650.430000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
-340.360000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 433

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NDDUEAFE TRS EQUITY FEDL01+0 MYI
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
SWU01J880
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4592.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0056244

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

2. The reference instrument is an index or custom basket. (26)
Index name.
MSCI DAILY TR NET EAFE USD FUND INDEX
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MSCI DTR NET $ EAFE
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
0
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
US Federal Funds Effective Rate (continuous series)
Payments: Floating rate Spread.
0.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2023-05-24
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
222972.350000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
4592.940000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 434

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NDDUEAFE TRS EQUITY FEDL01-2*BULLET* MYI
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
SWU01M3C9
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8410412.940000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
10.2991389

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & CO. INTERNATIONAL PLC4PQUHN3JPFGFNF3BB653

2. The reference instrument is an index or custom basket. (26)
Index name.
MSCI DAILY TR NET EAFE USD FUND INDEX
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MSCI DTR NET $ EAFE
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
0
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
0
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
US Federal Funds Effective Rate (continuous series)
Payments: Floating rate Spread.
-2.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2023-11-15
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
31911499.010000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
8410412.940000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 435

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NDDUEAFE TRS EQUITY FEDL01-5 JPM
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
SWU01IPL4
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9349.530000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0114492

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1JPMorgan Chase Bank, National Association7H6GLXDRUGQFU57RNE97

2. The reference instrument is an index or custom basket. (26)
Index name.
MSCI DAILY TR NET EAFE USD FUND INDEX
Index identifier, if any.
N/A
Narrative description. (27)
N/A
Custom swap Flag ☒ Yes ☐ No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Receipts: Floating rate Index.
MSCI DTR NET $ EAFE
Receipts: Floating rate Spread.
0.000000
Receipt: Floating Rate Reset Dates.
Month
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
0
Receipts: Base currency.
United States Dollar
Receipts: Amount.
0.000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. ☐ Fixed ☒ Floating ☐ Other
Payments: fixed or floating
Floating
Payments: Floating rate Index.
US Federal Funds Effective Rate (continuous series)
Payments: Floating rate Spread.
-5.000000
Payment: Floating Rate Reset Dates.
Day
Payment: Floating Rate Reset Dates Unit.
1
Payment: Floating Rate Tenor.
Day
Payment: Floating Rate Tenor Unit.
1
Payments: Base currency
United States Dollar
Payments: Amount
0.000000

ii. Termination or maturity date.
2023-05-10
iii. Upfront payments or receipts
Upfront payments.
0.000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
452912.580000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
9349.530000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 436

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHARLES SCHWAB CORP/THE
b. LEI (if any) of issuer. (1)
549300VSGCJ7E698NM85
c. Title of the issue or description of the investment.
CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR
d. CUSIP (if any).
808513BJ3
At least one of the following other identifiers:
- ISIN
US808513BJ38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
157748.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.1931735

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 437

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT GBP SOLD USD 20230404
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
23CUKBB754Q
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
1279.810000
f. Exchange rate.
0.810600
g. Percentage value compared to net assets of the Fund.
0.0015672

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Royal Bank of CanadaES7IP3U3RHIGC71XBU11

i. Amount and description of currency sold.
Amount of currency sold.
1213815.500000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
985000.000000
Description of currency purchased.
United Kingdom Pound
iii. Settlement date.
2023-04-04
iv. Unrealized appreciation or depreciation. (24)
1279.810000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 438

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD GBP BOUGHT USD 20230502
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
23CUKBB7510
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
-1295.970000
f. Exchange rate.
0.810200
g. Percentage value compared to net assets of the Fund.
-0.0015870

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Royal Bank of CanadaES7IP3U3RHIGC71XBU11

i. Amount and description of currency sold.
Amount of currency sold.
985000.000000
Description of currency sold.
United Kingdom Pound
ii. Amount and description of currency purchased.
Amount of currency purchased.
1214507.960000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-02
iv. Unrealized appreciation or depreciation. (24)
-1295.970000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 439

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD MXN BOUGHT USD 20230515
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
23BIKBCNLQC
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Mexico Peso
e. Value. (4)
-122.250000
f. Exchange rate.
18.164100
g. Percentage value compared to net assets of the Fund.
-0.0001497

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
MEXICO
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Royal Bank of CanadaES7IP3U3RHIGC71XBU11

i. Amount and description of currency sold.
Amount of currency sold.
54896.040000
Description of currency sold.
Mexico Peso
ii. Amount and description of currency purchased.
Amount of currency purchased.
2899.980000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-05-15
iv. Unrealized appreciation or depreciation. (24)
-122.250000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 440

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
S+P EMINI 3RD WK APR23C 3990 EXP 04/21/2023
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
3EJ3C

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-189.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1611225.000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.9730577

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Option
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

ii. Type, selected from among the following (put, call). Respond call for warrants. ☐ Put ☒ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☒ Written ☐ Purchased
1. The reference instrument is a derivative. (25)
Start of Nested Derivatives
a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

Identification of investment.
Name of issuer (if any).
N/A
LEI (if any) of issuer. (22)
N/A
Title of the issue or description of the investment.
FIN FUT EMINI S&P500 CME 06/16/23
CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
ESM300053
Description of other unique identifier.
Internal ID

Amount of each investment.
Balance. (2)
Balance
0.000000
Units
Number of contracts
Description of other units.
Currency. (3)
United States Dollar
Value. (4)
0.000000
Exchange rate.
Percentage value compared to net assets of the Fund.
0.000000

Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
Asset type. (6)
Derivative-equity
Issuer type. (7)

Country of investment or issuer.
ISO country code. (8)
UNITED STATES OF AMERICA
Investment ISO country code. (9)

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
N/A
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
FIN FUT EMINI S&P500 CME 06/16/23
Index identifier, if any.
N/A
Narrative description. (27)
N/A
iii. Expiration date.
2023-06-17
iv. Aggregate notional amount or contract value on trade date.
N/A
ISO Currency Code.
United States Dollar
End of Nested Derivatives
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
3990.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2023-04-21
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
-698568.380000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 441

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
S+P EMINI 3RD WK APR23P 3790 EXP 04/21/2023
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
3EJ3P

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
189.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
59062.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0723262

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Option
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

ii. Type, selected from among the following (put, call). Respond call for warrants. ☒ Put ☐ Call
iii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. ☐ Written ☒ Purchased
1. The reference instrument is a derivative. (25)
Start of Nested Derivatives
a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

Identification of investment.
Name of issuer (if any).
N/A
LEI (if any) of issuer. (22)
N/A
Title of the issue or description of the investment.
FIN FUT EMINI S&P500 CME 06/16/23
CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
ESM300053
Description of other unique identifier.
Internal ID

Amount of each investment.
Balance. (2)
Balance
0.000000
Units
Number of contracts
Description of other units.
Currency. (3)
United States Dollar
Value. (4)
0.000000
Exchange rate.
Percentage value compared to net assets of the Fund.
0.000000

Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
Asset type. (6)
Derivative-equity
Issuer type. (7)

Country of investment or issuer.
ISO country code. (8)
UNITED STATES OF AMERICA
Investment ISO country code. (9)

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
N/A
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
FIN FUT EMINI S&P500 CME 06/16/23
Index identifier, if any.
N/A
Narrative description. (27)
N/A
iii. Expiration date.
2023-06-17
iv. Aggregate notional amount or contract value on trade date.
N/A
ISO Currency Code.
United States Dollar
End of Nested Derivatives
iv. Number of shares or principal amount of underlying reference instrument per contract.
Number of shares.
N/A
v. Exercise price or rate.
3790.000000
vi. Exercise Price Currency Code
United States Dollar
vii. Expiration date.
2023-04-21
viii. Delta.
XXXX
ix. Unrealized appreciation or depreciation. (24)
-359680.880000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 442

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
S+P500 EMINI FUT JUN23 XCME 20230616
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
ESM3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
199.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2264711.840000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.7732981

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-equity
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☒ 1 ☐ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
2. The reference instrument is an index or custom basket. (26)
Index name.
S&P 500 INDEX
Index identifier, if any.
N/A
Narrative description. (27)
N/A
iii. Expiration date.
2023-06-16
iv. Aggregate notional amount or contract value on trade date.
41170612.500000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
2264711.840000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 443

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT DEC23 XCME 20240319
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRZ3

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-5.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
19914.480000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0243867

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI20TM27-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2024-03-19
iv. Aggregate notional amount or contract value on trade date.
-1196593.750000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
19914.480000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 444

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT DEC24 XCME 20250318
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRZ4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2192.370000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0026847

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI23N1Z7-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2025-03-18
iv. Aggregate notional amount or contract value on trade date.
-242331.250000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
2192.370000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 445

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT DEC25 XCME 20260317
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRZ5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1956.910000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0023964

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI23N1K0-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2026-03-17
iv. Aggregate notional amount or contract value on trade date.
-242743.750000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
1956.910000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 446

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT JUN24 XCME 20240917
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRM4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5560.500000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0068092

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI25WW32-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2024-09-17
iv. Aggregate notional amount or contract value on trade date.
-482437.500000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
5560.500000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 447

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT JUN25 XCME 20250916
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRM5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3917.220000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0047969

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI248D60-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2025-09-16
iv. Aggregate notional amount or contract value on trade date.
-485262.500000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
3917.220000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 448

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT MAR24 XCME 20240618
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRH4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
13206.390000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0161721

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI21YMS8-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2024-06-18
iv. Aggregate notional amount or contract value on trade date.
-961325.000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
13206.390000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 449

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT MAR25 XCME 20250617
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRH5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3992.410000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0048890

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI21YKZ4-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2025-06-17
iv. Aggregate notional amount or contract value on trade date.
-485062.500000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
3992.410000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 450

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT MAR26 XCME 20260616
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRH6

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1919.450000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0023505

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI279945-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2026-06-16
iv. Aggregate notional amount or contract value on trade date.
-242731.250000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
1919.450000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 451

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT SEP24 XCME 20241217
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRU4

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4612.150000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0056479

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI22MDC8-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2024-12-17
iv. Aggregate notional amount or contract value on trade date.
-483837.500000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
4612.150000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 452

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
3 MONTH SOFR FUT SEP25 XCME 20251216
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
SFRU5

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2036.120000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.0024934

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1Chicago Mercantile ExchangeSNZ2OJLFK8MNNCLQOF39

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
N/A
Title of issue.
90SOFR
At least one of the following other identifiers:
- Other identifier (if CUSIP, ISIN, and ticker are not available).
ADI275KX6-90SOFR
If other identifier provided, indicate the type of identifier used.
Internal ID
iii. Expiration date.
2025-12-16
iv. Aggregate notional amount or contract value on trade date.
-242687.500000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
2036.120000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 453

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT CHF SOLD USD 20230516
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
23BJKBBXL3N
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Switzerland Franc
e. Value. (4)
-54.680000
f. Exchange rate.
0.910800
g. Percentage value compared to net assets of the Fund.
-0.0000670

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
SWITZERLAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
24616.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
22370.910000
Description of currency purchased.
Switzerland Franc
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
-54.680000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 454

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT IDR SOLD USD 20230623
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
23BDKBB4DKH
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
2044.270000
f. Exchange rate.
15025.300000
g. Percentage value compared to net assets of the Fund.
0.0025034

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
130316.990000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
1988767584.000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2023-06-23
iv. Unrealized appreciation or depreciation. (24)
2044.270000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 455

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT IDR SOLD USD 20230627
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
23BKKBB1NBW
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Indonesia Rupiah
e. Value. (4)
928.760000
f. Exchange rate.
15026.366700
g. Percentage value compared to net assets of the Fund.
0.0011373

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
INDONESIA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
56816.000000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
867693952.000000
Description of currency purchased.
Indonesia Rupiah
iii. Settlement date.
2023-06-27
iv. Unrealized appreciation or depreciation. (24)
928.760000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 456

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BOUGHT JPY SOLD USD 20230516
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
23CQKBBPL45
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Japan Yen
e. Value. (4)
-3366.880000
f. Exchange rate.
131.971300
g. Percentage value compared to net assets of the Fund.
-0.0041230

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
JAPAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
268576.060000
Description of currency sold.
United States Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
35000000.000000
Description of currency purchased.
Japan Yen
iii. Settlement date.
2023-05-16
iv. Unrealized appreciation or depreciation. (24)
-3366.880000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 457

Item C.1. Identification of investment.

a. Name of issuer (if any).
AVOCA CLO XX DAC 20A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AVOCA CLO AVOCA 20A SUB 144A
d. CUSIP (if any).
ACI19ZJ22
At least one of the following other identifiers:
- ISIN
XS1970750151

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
617900.320000
f. Exchange rate.
0.922100
g. Percentage value compared to net assets of the Fund.
0.7566622

Item C.3. Payoff profile.

a. Payoff profile. (5)☒ Long ☐ Short ☐ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
IRELAND
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-07-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0
c. Currently in default? ☐ Yes ☒ No
d. Are there any interest payments in arrears? (14)☐ Yes ☒ No
e. Is any portion of the interest paid in kind? (15)☐ Yes ☒ No
f. For convertible securities, also provide:
i. Mandatory convertible? ☐ Yes ☐ No
ii. Contingent convertible? ☐ Yes ☐ No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated
— — — —

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code
— — —

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No
Schedule of Portfolio Investments Record: 458

Item C.1. Identification of investment.

a. Name of issuer (if any).
N/A
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOLD TWD BOUGHT USD 20230621
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
23CFKBBVL1H
Description of other unique identifier.
Internal ID

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
Taiwan New Dollar
e. Value. (4)
-59.060000
f. Exchange rate.
30.201800
g. Percentage value compared to net assets of the Fund.
-0.0000723

Item C.3. Payoff profile.

a. Payoff profile. (5)☐ Long ☐ Short ☒ N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-foreign exchange
b. Issuer type. (7)

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
TAIWAN
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? ☐ Yes ☒ No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12)☐ 1 ☒ 2 ☐ 3 ☐ N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Forward
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1STANDARD CHARTERED BANKRILFO74KP1CM8P6PCT96

i. Amount and description of currency sold.
Amount of currency sold.
193354.000000
Description of currency sold.
Taiwan New Dollar
ii. Amount and description of currency purchased.
Amount of currency purchased.
6343.000000
Description of currency purchased.
United States Dollar
iii. Settlement date.
2023-06-21
iv. Unrealized appreciation or depreciation. (24)
-59.060000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? ☐ Yes ☒ No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? ☐ Yes ☒ No
c. Is any portion of this investment on loan by the Fund? ☐ Yes ☒ No

NPORT-P: Part E: Explanatory Notes (if any)

The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable.

Explanatory Note RecordNote ItemExplanatory Notes
#1B.2.fA negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D. This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f.
#2B.5.aTotal returns do not deduct sales loads and redemption fees.
#3C.11.c.viTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#4C.11.d.iiiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#5C.11.e.iiiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#6C.11.f.iiTo the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500.
#7C.5.aThe form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list. Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A.

NPORT-P: Additional notes

IdentifierNote
(1) LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(2) Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
(3) Currency. Indicate the currency in which the investment is denominated.
(4) Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
(5) Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item [C/D].11.
(6) Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other” provide a brief description.
(7) Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other” provide a brief description.
(8) Report the ISO country code that corresponds to the country where the issuer is organized.
(9) If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments.
(10) Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: Highly Liquid Investments, Moderately Liquid Investments, Less Liquid Investments, Illiquid Investments. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
(11) Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
(12) Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7 (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
(13) Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none).
(14) Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N]
(15) Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind.
(16) Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
(17) Conversion ratio per US$1000 notional, or, if bond currency is not in U.S. dollars, per 1000 units of the relevant currency, indicating the relevant currency. If there is more than one conversion ratio, provide each conversion ratio.
(18) Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral.
(19) If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated.
(20) Category of investments that most closely represents the collateral, selected from among the following (asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; private label collateralized mortgage obligations; corporate debt securities; equities; money market; U.S. Treasuries (including strips); other instrument). If "other instrument", include a brief description, including, if applicable, whether it is a collateralized debt obligation, municipal debt, whole loan, or international debt
(21) Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other).
(22) In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(23) Description and terms of payments necessary for a user of financial information to understand the terms of payments to be paid and received, including, as applicable, description of the reference instrument, obligation, or index, financing rate, floating coupon rate, fixed coupon rate, and payment frequency.
(24) Depreciation shall be reported as a negative number.
(25) If the reference instrument is a derivative, indicate the category of derivative from among the categories listed in sub-Item C.11.a. and provide all information required to be reported on this Form for that category.
(26) If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.

If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
(27) If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
(28) If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).

NPORT-P: Signatures

The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Registrant:
PIMCO Global StocksPLUS & Income Fund
By (Signature):
/s/ Bijal Parikh
Name:
Bijal Parikh
Title:
Treasurer
Date:
2023-05-12


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