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 |
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? | ☐ |
Name | |
Phone | |
E-Mail Address |
Notify via Filing Website only? | ☐ |
Notification E-mail Address | |
Series ID |
Class (Contract) ID |
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 |
a. Name of Series. | N/A |
b. EDGAR series identifier (if any). | |
c. LEI of Series. | N/A |
a. Date of fiscal year-end. | 2023-06-30 |
b. Date as of which information is reported. | 2023-03-31 |
a. Does the Fund anticipate that this will be its final filing on Form N PORT? | ☐ Yes ☒ No |
Report the following information for the Fund and its consolidated subsidiaries. |
a. Total assets, including assets attributable to miscellaneous securities reported in Part D. | 191663634.650000 |
b. Total liabilities. | 110002313.080000 |
c. Net assets. | 81661321.570000 |
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 |
If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide: |
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years. |
Currency Metric Record | ISO Currency code | 3 month | 1 year | 5 years | 10 years | 30 years |
---|---|---|---|---|---|---|
#1 | Argentina Peso | |||||
Interest Rate Risk (DV01) | ||||||
0.013049 | 0.941991 | 0.265690 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.910906 | 92.801918 | 26.174900 | 0.000000 | 0.000000 | ||
#2 | Mexico Peso | |||||
Interest Rate Risk (DV01) | ||||||
-1.460421 | -28.595650 | -50.863215 | -13.690232 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
-145.237933 | -2836.405311 | -4899.301706 | -1314.568258 | 0.000000 | ||
#3 | Euro Member Countries | |||||
Interest Rate Risk (DV01) | ||||||
72.960960 | 340.630406 | 1565.361068 | -574.286419 | -504.385277 | ||
Interest Rate Risk (DV100) | ||||||
7223.512167 | 38974.912959 | 164138.085000 | -66801.600081 | -48058.329986 | ||
#4 | United Kingdom Pound | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 0.000000 | 0.000000 | -294.365355 | -652.147144 | ||
Interest Rate Risk (DV100) | ||||||
4.412915 | 0.000000 | 0.000000 | -25362.467268 | -56188.883433 | ||
#5 | Canada Dollar | |||||
Interest Rate Risk (DV01) | ||||||
9.277346 | 363.039289 | 4.737396 | -497.311936 | -178.842972 | ||
Interest Rate Risk (DV100) | ||||||
920.167841 | 36227.958994 | 512.588018 | -44966.437256 | -16170.798828 | ||
#6 | Peru Sol | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 3.135789 | 0.329171 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 310.621551 | 32.606682 | 0.000000 | 0.000000 | ||
#7 | Brazil Real | |||||
Interest Rate Risk (DV01) | ||||||
0.000000 | 126.665776 | 60.272317 | 0.000000 | 0.000000 | ||
Interest Rate Risk (DV100) | ||||||
0.000000 | 12480.350127 | 5911.497895 | 0.000000 | 0.000000 | ||
#8 | United States Dollar | |||||
Interest Rate Risk (DV01) | ||||||
-1744.137391 | 5764.424867 | 26954.715348 | 3750.300242 | -5817.819765 | ||
Interest Rate Risk (DV100) | ||||||
-178595.075090 | 599888.004202 | 2796312.130954 | 476345.294014 | -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 Risk | 3 month | 1 year | 5 years | 10 years | 30 years |
---|---|---|---|---|---|
Investment grade | -203.187000 | 2903.260000 | 22030.311200 | 603.910100 | -9876.522200 |
Non-Investment grade | 6078.408500 | 5234.214100 | 8510.397800 | 1863.029500 | 744.686200 |
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. |
a. For each borrower in any securities lending transaction, provide the following information: |
Borrower Information Record | Name of borrower | LEI (if any) of borrower | Aggregate value of all securities on loan to the borrower |
---|---|---|---|
— | — | — | — |
b. Did any securities lending counterparty provide any non-cash collateral? | ☐ Yes ☒ No |
a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable. |
Monthly Total Return Record | Monthly total returns of the Fund for each of the preceding three months | Class identification number(s) (if any) of the Class(es) for which returns are reported | ||
Month 1 | Month 2 | Month 3 | ||
#1 | 19.36904 | -8.401696 | 0.541103 |
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 Contracts | 4974.650000 | 54760.020000 | 92597.450000 | -138285.370000 | 3576.690000 | -16241.960000 | |
Forward | — | — | — | — | — | — | |
Future | — | — | — | — | — | — | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | 4974.650000 | 54760.020000 | 92597.450000 | -138285.370000 | 3576.690000 | -16241.960000 | |
Warrant | — | — | — | — | — | — | |
Other | — | — | — | — | — | — | |
Equity Contracts | 139219.970000 | 4197093.290000 | -401624.970000 | -1006576.020000 | -541629.520000 | 1402435.000000 | |
Forward | — | — | — | — | — | — | |
Future | 0.000000 | 2419282.000000 | 61857.570000 | -1212815.840000 | -1187871.320000 | 2455408.720000 | |
Option | 141368.520000 | -1325235.780000 | -485340.540000 | 1493303.400000 | 499381.260000 | -1600638.640000 | |
Swaption | — | — | — | — | — | — | |
Swap | -2148.550000 | 3035179.070000 | 21858.000000 | -1026836.440000 | 146860.540000 | 710941.330000 | |
Warrant | 0.000000 | 67868.000000 | 0.000000 | -260227.140000 | 0.000000 | -163276.410000 | |
Other | — | — | — | — | — | — | |
Foreign Exchange Contracts | 64204.910000 | -8783.810000 | -664.720000 | 421709.190000 | 3310.640000 | -532170.430000 | |
Forward | 64204.910000 | -8783.810000 | -664.720000 | 421709.190000 | 3310.640000 | -532170.430000 | |
Future | — | — | — | — | — | — | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | — | — | — | — | — | — | |
Warrant | — | — | — | — | — | — | |
Other | — | — | — | — | — | — | |
Interest Rate Contracts | -2259.560000 | -296772.570000 | 0.000000 | 146629.050000 | 0.000000 | -187128.650000 | |
Forward | — | — | — | — | — | — | |
Future | 0.000000 | -17012.500000 | 0.000000 | 44837.500000 | 0.000000 | -43943.750000 | |
Option | — | — | — | — | — | — | |
Swaption | — | — | — | — | — | — | |
Swap | -2259.560000 | -279760.070000 | 0.000000 | 101791.550000 | 0.000000 | -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. |
Month | Monthly net realized gain(loss) | Monthly net change in unrealized appreciation (or depreciation) |
---|---|---|
Month 1 | 291293.270000 | 2959247.660000 |
Month 2 | -693388.420000 | -1295296.000000 |
Month 3 | -260138.980000 | -696149.580000 |
a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies. |
Month | Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) | Total net asset value of shares sold in connection with reinvestments of dividends and distributions | Total net asset value of shares redeemed or repurchased, including exchanges |
---|---|---|---|
Month 1 | 0.000000 | 82574.200000 | 0.000000 |
Month 2 | 0.000000 | 81169.160000 | 0.000000 |
Month 3 | 0.000000 | 83057.210000 | 0.000000 |
a. If applicable, provide the Fund's current Highly Liquid Investment Minimum. |
—
|
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period. |
—
|
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? | ☐ Yes ☐ No ☐ N/A |
For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: |
(1) Moderately Liquid Investments |
(2) Less Liquid Investments |
(3) Illiquid Investments |
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments. |
Classification |
—
|
If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information: |
a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value. |
—
|
b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. |
—
|
d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period. |
—
|
For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day: |
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value. |
—
|
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide: | |
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio. | 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. |
—
|
For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Schedule of Portfolio Investments Record: 1 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 2 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 3 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 4 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 5 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 6 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 7 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 8 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 9 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 10 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 11 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 12 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-03-20 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 13 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 14 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 15 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 16 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 17 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 18 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 19 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 20 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 21 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 22 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 23 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 24 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 25 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 26 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 27 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 28 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 29 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 30 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 31 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 32 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 33 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-04-28 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 34 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 35 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 36 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-01-18 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 37 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 38 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 39 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 40 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 41 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 42 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 43 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 44 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 45 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 46 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 47 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 48 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 49 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 50 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | London Clearing house | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 51 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 52 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 53 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 54 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 55 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 56 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 57 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 58 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 59 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 60 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 61 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 62 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 63 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 64 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 65 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 66 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | THE TORONTO-DOMINION BANK | PT3QB789TSUIDF371261 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 67 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | THE TORONTO-DOMINION BANK | PT3QB789TSUIDF371261 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 68 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | THE TORONTO-DOMINION BANK | PT3QB789TSUIDF371261 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 69 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
AUSTRALIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 70 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 71 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 72 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 73 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 74 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS AG | BFM8T61CT2L1QCEMIK50 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 75 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Warrant
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | None | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 76 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-07-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 77 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 78 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-26 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 79 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-12-26 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 80 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-07-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 81 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 82 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 83 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 84 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-03-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 85 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 86 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2041-02-11 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 87 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 88 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-06-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 89 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 90 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 91 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-15 |
b. Coupon. |
i. Coupon category. (13) | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 92 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 93 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PANAMA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 94 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 95 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-05-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 96 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 97 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 98 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 99 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 100 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 101 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-10 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 102 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 103 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 104 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 105 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2048-10-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 106 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 107 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2049-12-10 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 108 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 109 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-05-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 110 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-04-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 111 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 112 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 113 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 114 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 115 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-07-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 116 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-05-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 117 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-12-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 118 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 119 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 120 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 121 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-02-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 122 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 123 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 124 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 125 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 126 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 127 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 128 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-03-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 129 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 130 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 131 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2099-12-31 |
b. Coupon. |
i. Coupon category. (13) | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 132 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 133 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 134 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 135 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 136 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-05-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 137 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 5.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 138 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-08-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 3.375 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
#1 | DISH NETWORK CORPORATION | DISH NETWORK CORP-A | United States Dollar |
At least one of the following other identifiers: | |||
Identifier type | Identifier value | ||
ISIN (if CUSIP is not available) | US25470M1099 | ||
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
#1 | 15.3429 | United States Dollar |
v. Delta (if applicable). | XXXX |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 139 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 140 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-12-31 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 141 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-07-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 142 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2038-07-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 143 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 144 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-12-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 145 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-03-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 146 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-02-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 147 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-06-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 148 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 149 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 150 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 151 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-03-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 152 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-04-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 153 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 154 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 155 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 156 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 157 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 158 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 159 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 160 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 161 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 162 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 163 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 164 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 165 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 166 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-06-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 167 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-06-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 168 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 169 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 170 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-03-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 171 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 172 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 173 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 174 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-10-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 175 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 176 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-10-18 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 177 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CANADA (FEDERAL LEVEL)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-10-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 178 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 179 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 180 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 181 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 182 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
NETHERLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 183 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 184 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 185 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 186 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GREECE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-01-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 187 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GREECE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2037-01-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 188 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GREECE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 189 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
GREECE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-22 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 190 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
ITALY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 191 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 192 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 193 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-02-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 194 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-19 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 195 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 196 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 197 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-04-22 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 198 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 199 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
VIRGIN ISLANDS (BRITISH)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-11-13 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 200 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 201 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 202 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 203 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 204 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 205 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 206 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 207 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 208 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 209 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 210 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 211 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-06-28 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 212 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-06-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 213 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 214 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 215 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-04-16 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 216 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-07-16 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 217 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 218 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 219 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 220 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 221 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-11-04 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 222 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-11-04 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 223 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-04-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 224 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☒ Yes ☐ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-07-31 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 225 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
JAPAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-09-17 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 226 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 227 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 228 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 229 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-12-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 230 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-05-09 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 231 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 232 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-07-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 233 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 234 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2045-03-15 |
b. Coupon. |
i. Coupon category. (13) | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 235 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 236 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-27 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 237 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 238 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-11-01 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 7.25 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 239 |
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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
SPAIN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 240 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 241 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 242 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
PUERTO RICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2043-11-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 243 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
PUERTO RICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2051-11-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 244 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-09-26 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 245 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 246 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 247 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 248 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-08-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 249 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-07-06 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 250 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-07-06 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 251 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 252 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-27 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 253 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
RUSSIAN FEDERATION
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 254 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 255 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2099-12-31 |
b. Coupon. |
i. Coupon category. (13) | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 256 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-09-12 |
b. Coupon. |
i. Coupon category. (13) | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 257 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 258 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-09-18 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 259 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-other
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 260 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 261 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
FRANCE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 262 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-12-21 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 263 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-11-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 264 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 265 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 266 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 267 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 268 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-06-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 269 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-04-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 270 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-09-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 271 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 272 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-01-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 273 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 274 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-02-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 275 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-02-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 276 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 277 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-02-12 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 278 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 279 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2031-02-02 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 280 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-29 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 281 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2033-04-29 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 282 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 283 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-05-13 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 284 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-02-06 |
b. Coupon. |
i. Coupon category. (13) | Floating |
ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 285 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 286 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Municipal
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2047-06-01 |
b. Coupon. |
i. Coupon category. (13) | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 287 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-09-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 288 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2039-09-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 289 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UKRAINE
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 290 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 291 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 292 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 293 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 294 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 295 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 296 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 297 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
U.S. government sponsored entity
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 298 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
U.S. Treasury
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2023-04-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 299 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-28 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 300 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-04-29 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 301 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2030-01-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 6 |
c. Currently in default? | ☐ Yes ☒ No |
d. Are there any interest payments in arrears? (14) | ☐ Yes ☒ No |
e. Is any portion of the interest paid in kind? (15) | ☐ Yes ☒ No |
f. For convertible securities, also provide: |
i. Mandatory convertible? | ☐ Yes ☐ No |
ii. Contingent convertible? | ☐ Yes ☐ No |
iii. Description of the reference instrument. (16) |
Reference Instrument Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 302 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-02-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 303 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-06-26 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 304 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-06-26 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 305 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-07-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 10.625 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 306 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 307 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2028-04-30 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 308 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 309 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 310 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
VENEZUELA (BOLIVARIAN REPUBLIC OF)
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2024-10-13 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 311 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
BERMUDA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2025-05-15 |
b. Coupon. |
i. Coupon category. (13) | Fixed |
ii. Annualized rate. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 312 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
CAYMAN ISLANDS
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 313 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-05-09 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 314 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-12-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 315 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 316 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2036-10-25 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 317 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 318 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2026-11-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 319 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2029-03-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 320 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-mortgage backed security
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2046-12-15 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 321 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-21 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 322 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Loan
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 2027-09-01 |
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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 323 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1123000.000000 | United States Dollar | 1074109.070000 | United States Dollar | U.S. Treasuries (including strips) |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 324 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 559504.290000 | United States Dollar | 527790.070000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 325 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 217030.000000 | United States Dollar | 175148.970000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 326 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2525000.000000 | United States Dollar | 2321055.750000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 327 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 200000.000000 | United States Dollar | 196797.800000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 328 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 572000.000000 | United States Dollar | 477585.680000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 329 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 715136.000000 | United States Dollar | 211412.080000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 330 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 392916.780000 | United States Dollar | 397779.130000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 331 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES PLC | K6Q0W1PS1L1O4IQL9C32 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 88111000.000000 | Argentina Peso | 85697251.010000 | Argentina Peso |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 332 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES PLC | K6Q0W1PS1L1O4IQL9C32 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1075218.000000 | United States Dollar | 267838.670000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 333 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES LLC | ZBUT11V806EZRVTWT807 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2498091.000000 | United States Dollar | 751430.090000 | United States Dollar |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 334 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES LLC | ZBUT11V806EZRVTWT807 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1204589.350000 | United States Dollar | 1135482.660000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 335 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 130000.000000 | Euro Member Countries | 110825.000000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 336 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES PLC | K6Q0W1PS1L1O4IQL9C32 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1800000.000000 | Euro Member Countries | 1738052.550000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 337 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES PLC | K6Q0W1PS1L1O4IQL9C32 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 900000.000000 | Euro Member Countries | 839839.800000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 338 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | J.P. MORGAN SECURITIES PLC | K6Q0W1PS1L1O4IQL9C32 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 760000.000000 | Euro Member Countries | 697448.840000 | Euro Member Countries | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 339 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BARCLAYS BANK PLC | G5GSEF7VJP5I7OUK5573 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 923365.510000 | United States Dollar | 673800.130000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 340 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BARCLAYS BANK PLC | G5GSEF7VJP5I7OUK5573 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 30465938.320000 | United States Dollar | 267617.710000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 341 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BARCLAYS BANK PLC | G5GSEF7VJP5I7OUK5573 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 5625499.410000 | United States Dollar | 2772099.520000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 342 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 900000.000000 | United States Dollar | 850607.280000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 343 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 250000.000000 | United States Dollar | 267452.050000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 344 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | THE BANK OF NEW YORK MELLON (INTERNATIONAL) LIMITED | 549300KP56LL8NKKFL47 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 11064288.400000 | United States Dollar | 2131590.480000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 345 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1200000.000000 | United States Dollar | 1118014.920000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 346 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 411538.660000 | United States Dollar | 397929.530000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 347 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | RBC Capital Markets, LLC | 549300LCO2FLSSVFFR64 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 500000.000000 | United States Dollar | 457780.860000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 348 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | RBC Capital Markets, LLC | 549300LCO2FLSSVFFR64 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1200000.000000 | United States Dollar | 1087408.930000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 349 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | RBC Capital Markets, LLC | 549300LCO2FLSSVFFR64 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 976192.220000 | United States Dollar | 919282.750000 | United States Dollar | Private label collateralized mortgage obligations |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 350 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | CITIGROUP 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 20308000.000000 | United States Dollar | 18589752.710000 | United States Dollar | U.S. Treasuries (including strips) |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 351 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 200000.000000 | United States Dollar | 159181.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 352 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1647881.000000 | United States Dollar | 1566261.450000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 353 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | The Bank of New York Mellon | HPFHU0OQ28E4N0NFVK49 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 861000.000000 | United States Dollar | 650381.020000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 354 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SG AMERICAS SECURITIES, LLC | 549300F35UE0BOM1WJ55 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 123488.130000 | United States Dollar | 125016.300000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 355 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SOCIETE GENERALE | O2RNE8IBXP4R0TD8PU41 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 200000.000000 | United States Dollar | 138919.050000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 356 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 4348000.000000 | United States Dollar | 3869720.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 357 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MERRILL LYNCH INTERNATIONAL | GGDZP1UYGU9STUHRDP48 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 700000.000000 | United States Dollar | 740012.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 358 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Nomura 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 600000.000000 | United States Dollar | 312000.050000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 359 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP PARIBAS | R0MUWSFPU8MPRO8K5P83 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 700000.000000 | United States Dollar | 557133.500000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 360 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SCOTIA 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 315000.000000 | United States Dollar | 263006.100000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 361 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | SCOTIA 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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 146980.000000 | United States Dollar | 121333.460000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 362 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS Securities LLC | T6FIZBDPKLYJKFCRVK44 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 1000000.000000 | United States Dollar | 834940.000000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 363 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☒ Short ☐ N/A |
a. Asset type. (6) |
Repurchase agreement
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | UBS Securities LLC | T6FIZBDPKLYJKFCRVK44 |
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 Record | Principal amount | Principal ISO currency code | Value of collateral | Collateral ISO currency code | Category of investments (20) |
---|---|---|---|---|---|
#1 | 2200000.000000 | United States Dollar | 1680957.500000 | United States Dollar | Corporate debt securities |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 364 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | GOLDMAN SACHS INTERNATIONAL | W22LROWP2IHZNBB6K528 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 365 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 366 |
a. Name of 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | GOLDMAN SACHS INTERNATIONAL | W22LROWP2IHZNBB6K528 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 367 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 368 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 369 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 370 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TAIWAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Bank of America, National Association | B4TYDEB6GKMZO031MB27 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 371 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 372 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-common
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 373 |
a. Name of 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BARCLAYS BANK PLC | G5GSEF7VJP5I7OUK5573 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 374 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 375 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
AUSTRALIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 376 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 377 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 378 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 379 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 380 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 381 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 382 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 383 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TAIWAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 384 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TAIWAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BNP 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 385 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 386 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Debt
|
b. Issuer type. (7) |
a. ISO country code. (8) |
ARGENTINA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 387 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 388 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 389 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 390 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 391 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 392 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 393 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 394 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Citibank, National Association | E57ODZWZ7FF32TWEFA76 |
i. Amount and description of currency sold. |
Amount of currency sold. | 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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 395 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
AUSTRALIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 396 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 397 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 398 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 399 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 400 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | DEUTSCHE BANK AKTIENGESELLSCHAFT | 7LTWFZYICNSX8D621K86 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 401 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Intercontinental Exchange | 5493000F4ZO33MV32P92 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 402 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 403 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 404 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
PERU
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 405 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 406 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TAIWAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 407 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TAIWAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Goldman Sachs Bank USA | KD3XUN7C6T14HNAYLU02 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 408 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 409 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 410 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 411 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 412 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
NORWAY
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 413 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 414 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 415 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 416 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 417 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 418 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 419 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 420 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
JAPAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | HSBC BANK PLC | MP6I5ZYZBEU3UXPYFY54 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 421 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 422 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 423 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 424 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
LUXEMBOURG
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☐ 2 ☒ 3 ☐ N/A |
N/A |
N/A |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Luxembourg Stock Exchange | N/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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 425 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SOUTH AFRICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 426 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-credit
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | BANK OF AMERICA CORPORATION | 9DJT3UXIJIZJI4WXO774 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 427 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
AUSTRALIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 428 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 429 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) | N/A |
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 430 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 431 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
BRAZIL
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 432 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
JAPAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 433 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 434 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | MORGAN STANLEY & CO. INTERNATIONAL PLC | 4PQUHN3JPFGFNF3BB653 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 435 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Swap
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | JPMorgan Chase Bank, National Association | 7H6GLXDRUGQFU57RNE97 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 436 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
Equity-preferred
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 437 |
a. Name of 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 438 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 439 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
MEXICO
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Royal Bank of Canada | ES7IP3U3RHIGC71XBU11 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 440 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Option
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 441 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Option
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 442 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-equity
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☒ 1 ☐ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 443 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 444 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 445 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 446 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 447 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 448 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 449 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 450 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 451 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 452 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-interest rate
|
b. Issuer type. (7) |
a. ISO country code. (8) |
UNITED STATES OF AMERICA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Future
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | Chicago Mercantile Exchange | SNZ2OJLFK8MNNCLQOF39 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 453 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
SWITZERLAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 454 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 455 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
INDONESIA
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 456 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
JAPAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 457 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☒ Long ☐ Short ☐ N/A |
a. Asset type. (6) |
ABS-collateralized bond/debt obligation
|
b. Issuer type. (7) |
Corporate
|
a. ISO country code. (8) |
IRELAND
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
For debt securities, also provide: |
a. Maturity date. | 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 Record | Name of issuer | Title of issue | Currency in which denominated |
---|---|---|---|
— | — | — | — |
iv. Conversion ratio per US$1000 notional. (17) |
Bond Currency Record | Conversion ratio per 1000 units | ISO Currency Code |
---|---|---|
— | — | — |
v. Delta (if applicable). |
N/A |
N/A |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
Schedule of Portfolio Investments Record: 458 |
a. Name of issuer (if any). | 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 |
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 |
a. Payoff profile. (5) | ☐ Long ☐ Short ☒ N/A |
a. Asset type. (6) |
Derivative-foreign exchange
|
b. Issuer type. (7) |
a. ISO country code. (8) |
TAIWAN
|
b. Investment ISO country code. (9) |
a. Is the investment a Restricted Security? | ☐ Yes ☒ No |
a. Liquidity classification information. (10) |
Category. |
N/A
|
a. Level within the fair value hierarchy (12) | ☐ 1 ☒ 2 ☐ 3 ☐ N/A |
N/A |
N/A |
a. Type of derivative instrument (21) |
Forward
|
b. Counterparty. |
i. Provide the name and LEI (if any) of counterparty (including a central counterparty). |
Counterparty Info Record | Name of counterparty | LEI (if any) of counterparty |
---|---|---|
#1 | STANDARD CHARTERED BANK | RILFO74KP1CM8P6PCT96 |
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 |
a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | ☐ Yes ☒ No |
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | ☐ Yes ☒ No |
c. Is any portion of this investment on loan by the Fund? | ☐ Yes ☒ No |
The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
Explanatory Note Record | Note Item | Explanatory Notes |
---|---|---|
#1 | B.2.f | A 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. |
#2 | B.5.a | Total returns do not deduct sales loads and redemption fees. |
#3 | C.11.c.vi | To 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. |
#4 | C.11.d.iii | To 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. |
#5 | C.11.e.iii | To 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. |
#6 | C.11.f.ii | To 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. |
#7 | C.5.a | The 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. |
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 |