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

FORM NPORT-P
Monthly Portfolio Investments Report

NPORT-P: Filer Information

Confidential
Filer CIK
0001163792
Filer CCC
********
Filer Investment Company Type
Is this a LIVE or TEST Filing? LIVE TEST
Would you like a Return Copy?
Is this an electronic copy of an official filing submitted in paper format?

Submission Contact Information

Name
Phone
E-Mail Address

Notification Information

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

NPORT-P: Part A: General Information

Item A.1. Information about the Registrant.

a. Name of Registrant
Western Asset Premier Bond Fund
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-10603
c. CIK number of Registrant
0001163792
d. LEI of Registrant
5493007UP8PFRNTX0546
e. Address and telephone number of Registrant:
i. Street Address 1
620 Eighth Avenue
ii. Street Address 2
47thFloor
iii. City
New York
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
10018
vii. Telephone number
1-888-777-0102

Item A.2. Information about the Series.

a. Name of Series.
Western Asset Premier Bond Fund
b. EDGAR series identifier (if any).
c. LEI of Series.
5493007UP8PFRNTX0546

Item A.3. Reporting period.

a. Date of fiscal year-end.
2021-12-31
b. Date as of which information is reported.
2021-12-31

Item A.4. Final filing

a. Does the Fund anticipate that this will be its final filing on Form N PORT? Yes No

NPORT-P: Part B: Information About the Fund

Report the following information for the Fund and its consolidated subsidiaries.

Item B.1. Assets and liabilities. Report amounts in U.S. dollars.

a. Total assets, including assets attributable to miscellaneous securities reported in Part D.
229344935.11
b. Total liabilities.
59489341.82
c. Net assets.
169855593.29

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

a. Assets attributable to miscellaneous securities reported in Part D.
0.00000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
0.00000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
57500000.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
0.00000000
(ii) On a standby commitment basis:
0.00000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
0.00000000
f. Cash and cash equivalents not reported in Parts C and D.
0.00000000

Item B.3. Portfolio level risk metrics.

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

Currency Metric Record ISO Currency code 3 month 1 year 5 years 10 years 30 years
#1 United Kingdom Pound
Interest Rate Risk (DV01)
-105.40000000 242.81000000 210.11000000 0.00000000 0.00000000
Interest Rate Risk (DV100)
-10539.69000000 24280.84000000 21010.70000000 0.00000000 0.00000000
#2 Russia Ruble
Interest Rate Risk (DV01)
0.02000000 101.08000000 784.47000000 47.35000000 0.00000000
Interest Rate Risk (DV100)
2.09000000 10108.13000000 78447.02000000 4734.84000000 0.00000000
#3 United States Dollar
Interest Rate Risk (DV01)
368.45000000 12847.64000000 45896.66000000 43398.46000000 5636.46000000
Interest Rate Risk (DV100)
36844.81000000 1284764.24000000 4589665.75000000 4339846.22000000 563646.12000000

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 253.43000000 14400.96000000 44921.72000000 43600.19000000 5233.68000000
Non-Investment grade 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000

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

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

Item B.4. Securities lending.

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

Borrower Information Record Name of borrower LEI (if any) of borrower Aggregate value of all securities on loan to the borrower

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

Item B.5. Return information.

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

Monthly Total Return Record Monthly total returns of the Fund for each of the preceding three months Class identification number(s) (if any) of the Class(es) for which returns are reported
Month 1 Month 2 Month 3
#1 -0.10000000 -0.88000000 3.94000000 C000000000

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

Asset category Instrument type Month 1 Month 2 Month 3
Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation)
Commodity Contracts 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Forward 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Future 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Option 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swaption 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swap 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Warrant 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Credit Contracts 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Forward 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Future 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Option 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swaption 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swap 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Warrant 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Equity Contracts 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Forward 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Future 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Option 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swaption 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swap 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Warrant 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Foreign Exchange Contracts 30431.35000000 -65027.88000000 0.00000000 62769.57000000 0.00000000 -38828.88000000
Forward 30431.35000000 -65027.88000000 0.00000000 62769.57000000 0.00000000 -38828.88000000
Future 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Option 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swaption 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swap 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Warrant 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Interest Rate Contracts 0.00000000 67968.75000000 243685.57000000 -312301.48000000 -115078.33000000 92682.58000000
Forward 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Future 0.00000000 67968.75000000 243685.57000000 -312301.48000000 -115078.33000000 92682.58000000
Option 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swaption 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swap 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Warrant 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other Contracts 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Forward 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Future 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Option 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swaption 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Swap 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Warrant 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Other 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000

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

Month Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation)
Month 1 106971.30000000 -1704378.15000000
Month 2 111491.67000000 -3003514.44000000
Month 3 -95130.48000000 1232563.45000000

Item B.6. Flow information.

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

Month Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions) Total net asset value of shares sold in connection with reinvestments of dividends and distributions Total net asset value of shares redeemed or repurchased, including exchanges
Month 1 0.00000000 0.00000000 0.00000000
Month 2 0.00000000 0.00000000 0.00000000
Month 3 0.00000000 0.00000000 0.00000000

Item B.7. Highly Liquid Investment Minimum information.

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

Item B.8. Derivatives Transactions.

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

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

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

Item B.10. VaR information.

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

NPORT-P: Part C: Schedule of Portfolio Investments

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
KINDER MORGAN INC
b. LEI (if any) of issuer. (1)
549300WR7IX8XE0TBO16
c. Title of the issue or description of the investment.
Kinder Morgan Inc
d. CUSIP (if any).
49456BAH4
At least one of the following other identifiers:
- ISIN
US49456BAH42
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BST78D6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1900762.79000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.119046334114

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WYNN RESORTS FINANCE LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp
d. CUSIP (if any).
983133AB5
At least one of the following other identifiers:
- ISIN
US983133AB53
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL0MLV0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
990000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1039267.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.611853474984

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DEUTSCHE BANK SECURITIES INC.
b. LEI (if any) of issuer. (1)
9J6MBOOO7BECTDTUZW19
c. Title of the issue or description of the investment.
Deutsche Bank Securities
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP876619
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1282812.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1282812.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.75523712534

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

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 SECURITIES INC. 9J6MBOOO7BECTDTUZW19

c. Tri-party? Yes No
d. Repurchase rate.
0.14000000
e. Maturity date.
2022-02-24
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 1250000.00000000 United States Dollar 1268994.14000000 United States Dollar U.S. Treasuries (including strips)

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BROADCOM CRP / CAYMN FI
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Broadcom Corp / Broadcom Cayman Finance Ltd
d. CUSIP (if any).
11134LAP4
At least one of the following other identifiers:
- ISIN
US11134LAP40
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDRTGQ8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
522721.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.307744366773

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WYNN MACAU LTD
b. LEI (if any) of issuer. (1)
254900NMDQ8ENTHU1I31
c. Title of the issue or description of the investment.
Wynn Macau Ltd
d. CUSIP (if any).
98313RAE6
At least one of the following other identifiers:
- ISIN
US98313RAE62
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJBYPM0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
910000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.535749210475

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-12-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CVS PASS-THROUGH TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CVS Pass-Through Trust
d. CUSIP (if any).
126650AQ3
At least one of the following other identifiers:
- ISIN
US126650AQ30
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B1FSD84
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
192430.77000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
207446.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.122131168000

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-01-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.78900000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY
b. LEI (if any) of issuer. (1)
IGJSJL3JD5P30I6NJZ34
c. Title of the issue or description of the investment.
Morgan Stanley
d. CUSIP (if any).
6174468G7
At least one of the following other identifiers:
- ISIN
US6174468G77
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJ2XKL0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1140561.03000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.671488649804

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.43100000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED RENTALS NORTH AM
b. LEI (if any) of issuer. (1)
NGIZXNT70J2LYT3FBI09
c. Title of the issue or description of the investment.
United Rentals North America Inc
d. CUSIP (if any).
911365BF0
At least one of the following other identifiers:
- ISIN
US911365BF09
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYX1YP0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
160000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
166590.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.098077665134

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LENNAR CORP
b. LEI (if any) of issuer. (1)
529900G61XVRLX5TJX09
c. Title of the issue or description of the investment.
Lennar Corp
d. CUSIP (if any).
526057CD4
At least one of the following other identifiers:
- ISIN
US526057CD41
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BFFY830
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
283352.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.166819722866

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-29
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SEAGATE HDD CAYMAN
b. LEI (if any) of issuer. (1)
529900BD50TRWEG1SF63
c. Title of the issue or description of the investment.
Seagate HDD Cayman
d. CUSIP (if any).
81180WAL5
At least one of the following other identifiers:
- ISIN
US81180WAL54
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYQF211
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1220000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1306693.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.769296538718

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-01-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SPIRIT LOYALTY KY LTD/IP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd
d. CUSIP (if any).
84859BAA9
At least one of the following other identifiers:
- ISIN
US84859BAA98
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BN6RJR5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1169999.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1293047.79000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.761263002856

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-09-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
Western Asset Premier Institutional Government Reserves
b. LEI (if any) of issuer. (1)
549300WB3XRN9YTWFB76
c. Title of the issue or description of the investment.
Western Asset Premier Institutional Government Reserves
d. CUSIP (if any).
52470G494
At least one of the following other identifiers:
- ISIN
US52470G4947
- Ticker (if ISIN is not available).
WACXX

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1681022.99000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1681022.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.989677735916

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
b. Issuer type. (7)
Registered fund

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
DAIMLER FINANCE NA LLC
b. LEI (if any) of issuer. (1)
549300423Z16BB673J12
c. Title of the issue or description of the investment.
Daimler Finance North America LLC
d. CUSIP (if any).
233835AQ0
At least one of the following other identifiers:
- ISIN
US233835AQ08
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B065ZJ2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1488517.19000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.876342757496

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-01-18
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BNP PARIBAS
b. LEI (if any) of issuer. (1)
R0MUWSFPU8MPRO8K5P83
c. Title of the issue or description of the investment.
BNP Paribas SA
d. CUSIP (if any).
05565AAN3
At least one of the following other identifiers:
- ISIN
US05565AAN37
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYV0501
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
510000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
579841.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.341373480124

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
N/A
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.37500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TARGA RESOURCES PARTNERS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Targa Resources Partners LP / Targa Resources Partners Finance Corp
d. CUSIP (if any).
87612BBN1
At least one of the following other identifiers:
- ISIN
US87612BBN10
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL3FLF0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
20000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22403.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013189556826

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-01-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NEWELL BRANDS INC
b. LEI (if any) of issuer. (1)
549300LWGYFM1TVO1Z12
c. Title of the issue or description of the investment.
Newell Brands Inc
d. CUSIP (if any).
651229BB1
At least one of the following other identifiers:
- ISIN
US651229BB19
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL9X631
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
420000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
458318.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.269828441396

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
Origen Manufactured Housing
b. LEI (if any) of issuer. (1)
5493001P8LORMOBBQA95
c. Title of the issue or description of the investment.
Origen Manufactured Housing Contract Trust 2007-A
d. CUSIP (if any).
68620CAB6
At least one of the following other identifiers:
- ISIN
US68620CAB63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
603525.46000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
579899.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.341407214662

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.54390000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 18

Item C.1. Identification of investment.

a. Name of issuer (if any).
WHEEL BIDCO LTD
b. LEI (if any) of issuer. (1)
213800GGDN5YSVU1G348
c. Title of the issue or description of the investment.
Wheel Bidco Ltd
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
XS2364424460
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL6P243
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
380000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United Kingdom Pound
e. Value. (4)
506505.18000000
f. Exchange rate.
0.73879797
g. Percentage value compared to net assets of the Fund.
0.298197527787

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
Metropolitan Asset Funding, In
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MAFI II Remic Trust 1998-B
d. CUSIP (if any).
591739BM8
At least one of the following other identifiers:
- ISIN
US591739BM82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
132862.59000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
116032.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.068312292667

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-11-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.73326500
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
QATAR ENERGY
b. LEI (if any) of issuer. (1)
254900QTESJKJ3P87J26
c. Title of the issue or description of the investment.
Qatar Energy
d. CUSIP (if any).
74730DAC7
At least one of the following other identifiers:
- ISIN
US74730DAC74
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BP2PSC5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
750000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
744824.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.438504399868

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-07-12
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CORPORATE BACKED TRUST CERTIFICATES
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CORP-BACKED TRUST CERTS
d. CUSIP (if any).
21988G858
At least one of the following other identifiers:
- ISIN
US21988G8583
- Ticker (if ISIN is not available).
CBTCS

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
33900.00000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1210.23000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000712505238

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Equity-preferred
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UNITED AIRLINES INC
b. LEI (if any) of issuer. (1)
K1OQBWM7XEOO08LDNP29
c. Title of the issue or description of the investment.
United Airlines Inc
d. CUSIP (if any).
90932LAH0
At least one of the following other identifiers:
- ISIN
US90932LAH06
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMG8788
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
80000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
82666.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.048668635750

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
RANGE RESOURCES CORP
b. LEI (if any) of issuer. (1)
H3Y3WLYCX0BTO1TRW162
c. Title of the issue or description of the investment.
Range Resources Corp
d. CUSIP (if any).
75281ABG3
At least one of the following other identifiers:
- ISIN
US75281ABG31
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMV2RV8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1645000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1775057.81000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.045039362918

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
KRAFT HEINZ FOODS CO
b. LEI (if any) of issuer. (1)
5493003STKEZ2S0RNU91
c. Title of the issue or description of the investment.
Kraft Heinz Foods Co
d. CUSIP (if any).
50077LBJ4
At least one of the following other identifiers:
- ISIN
US50077LBJ44
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BNG49V0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
340000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
461308.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.271588671921

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-06-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
BRISTOL-MYERS SQUIBB CO
b. LEI (if any) of issuer. (1)
HLYYNH7UQUORYSJQCN42
c. Title of the issue or description of the investment.
Bristol-Myers Squibb Co
d. CUSIP (if any).
110122DH8
At least one of the following other identifiers:
- ISIN
US110122DH81
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMWV9B8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
319857.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.188311261233

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bear Stearns Alt-A Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bear Stearns ALT-A Trust 2004-3
d. CUSIP (if any).
07386HGG0
At least one of the following other identifiers:
- ISIN
US07386HGG02
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B07C4H3
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
62771.46000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
63188.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.037201106408

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.74188000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
T-MOBILE USA INC
b. LEI (if any) of issuer. (1)
549300V2JRLO5DIFGE82
c. Title of the issue or description of the investment.
T-Mobile USA Inc
d. CUSIP (if any).
87264ACB9
At least one of the following other identifiers:
- ISIN
US87264ACB98
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMW1GN9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1244713.09000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.732806654105

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
WESTERN MIDSTREAM OPERAT
b. LEI (if any) of issuer. (1)
L6D8A6MLSY454J2JXJ60
c. Title of the issue or description of the investment.
Western Midstream Operating LP
d. CUSIP (if any).
958667AC1
At least one of the following other identifiers:
- ISIN
US958667AC17
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BKRMR85
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2422255.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.426067256945

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-02-01
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.30000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
LUKOIL INTL FINANCE BV
b. LEI (if any) of issuer. (1)
724500LG1GUKJ5TOIW61
c. Title of the issue or description of the investment.
Lukoil International Finance BV
d. CUSIP (if any).
549876AL4
At least one of the following other identifiers:
- ISIN
US549876AL44
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD8NWF0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1070650.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.630329551863

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-02
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSBC HOLDINGS PLC
b. LEI (if any) of issuer. (1)
MLU0ZO3ML4LN2LL2TL39
c. Title of the issue or description of the investment.
HSBC Holdings PLC
d. CUSIP (if any).
404280BL2
At least one of the following other identifiers:
- ISIN
US404280BL25
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDS6RN2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
431500.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.254039323428

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
N/A
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
TWDC ENTERPRISES 18 CORP
b. LEI (if any) of issuer. (1)
7260JQNI6SCF9FIV2392
c. Title of the issue or description of the investment.
TWDC Enterprises 18 Corp
d. CUSIP (if any).
25468PDK9
At least one of the following other identifiers:
- ISIN
US25468PDK93
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD0SY68
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
529465.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.311715033779

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-02-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
INTL LEASE FINANCE CORP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
International Lease Finance Corp
d. CUSIP (if any).
459745GN9
At least one of the following other identifiers:
- ISIN
US459745GN96
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8NWVB6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
700000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
721717.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.424900673578

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HUARONG FINANCE 2019
b. LEI (if any) of issuer. (1)
549300M6T6OW4AGYHK10
c. Title of the issue or description of the investment.
Huarong Finance 2019 Co Ltd
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
XS2235973786
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BN4LY52
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
197250.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.116128056886

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
VIRGIN ISLANDS (BRITISH)
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CARROLS RESTAURANT GROUP
b. LEI (if any) of issuer. (1)
529900HZEMNWQSAKFJ98
c. Title of the issue or description of the investment.
Carrols Restaurant Group Inc
d. CUSIP (if any).
14574XAF1
At least one of the following other identifiers:
- ISIN
US14574XAF15
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLB2PG2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
840000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
757180.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.445778784986

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
US TREASURY N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Note/Bond
d. CUSIP (if any).
9128284X5
At least one of the following other identifiers:
- ISIN
US9128284X55
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BG0MND1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1400000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1448234.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.852626835506

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. Treasury

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-08-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ANADARKO FINANCE CO
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Anadarko Finance Co
d. CUSIP (if any).
032479AD9
At least one of the following other identifiers:
- ISIN
US032479AD91
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
2798938
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
570000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
697631.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.410720386940

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-05-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
US TREASURY N/B
b. LEI (if any) of issuer. (1)
254900HROIFWPRGM1V77
c. Title of the issue or description of the investment.
United States Treasury Note/Bond
d. CUSIP (if any).
912828W71
At least one of the following other identifiers:
- ISIN
US912828W713
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD0NPC6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1544003.91000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.909009753575

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
U.S. Treasury

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-03-31
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
VEON HOLDINGS BV
b. LEI (if any) of issuer. (1)
5493000XDKGUH5NQGE22
c. Title of the issue or description of the investment.
VEON Holdings BV
d. CUSIP (if any).
92718WAE9
At least one of the following other identifiers:
- ISIN
US92718WAE93
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B9DRML5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
570000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
594928.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.350255731045

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-02-13
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.95000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
PILGRIM'S PRIDE CORP
b. LEI (if any) of issuer. (1)
549300ZSLGV64ZL3HD75
c. Title of the issue or description of the investment.
Pilgrim's Pride Corp
d. CUSIP (if any).
72147KAE8
At least one of the following other identifiers:
- ISIN
US72147KAE82
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF0KZ32
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
920000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
972430.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.572504432244

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-09-30
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
REPUBLIC OF INDONESIA
b. LEI (if any) of issuer. (1)
529900FWX0GRR7WG5W79
c. Title of the issue or description of the investment.
Indonesia Government International Bond
d. CUSIP (if any).
455780CD6
At least one of the following other identifiers:
- ISIN
US455780CD62
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF0RYY7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2420000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2615969.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.540113910487

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-01-11
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATWEST GROUP PLC
b. LEI (if any) of issuer. (1)
2138005O9XJIJN4JPN90
c. Title of the issue or description of the investment.
NatWest Group PLC
d. CUSIP (if any).
780097AZ4
At least one of the following other identifiers:
- ISIN
US780097AZ42
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BHB92X1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
150000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
163076.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.096009172757

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-12-19
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
UBS GROUP AG
b. LEI (if any) of issuer. (1)
549300SZJ9VS8SGXAN81
c. Title of the issue or description of the investment.
UBS Group AG
d. CUSIP (if any).
90352JAF0
At least one of the following other identifiers:
- ISIN
US90352JAF03
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJJH9C9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1348681.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.794016389968

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
N/A
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
ROYAL CARIBBEAN CRUISES LTD
b. LEI (if any) of issuer. (1)
K2NEH8QNVW44JIWK7Z55
c. Title of the issue or description of the investment.
Royal Caribbean Cruises Ltd
d. CUSIP (if any).
78015EAM0
At least one of the following other identifiers:
- ISIN
XA78015EAM05
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL2976118
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
690000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
658950.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.387947189277

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-04-05
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.56440000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREEPORT-MCMORAN INC
b. LEI (if any) of issuer. (1)
549300IRDTHJQ1PVET45
c. Title of the issue or description of the investment.
Freeport-McMoRan Inc
d. CUSIP (if any).
35671DBJ3
At least one of the following other identifiers:
- ISIN
US35671DBJ37
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BSN4Q39
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
220000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
268160.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.157875401572

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-14
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.40000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
FORD MOTOR COMPANY
b. LEI (if any) of issuer. (1)
20S05OYHG0MQM4VUIC57
c. Title of the issue or description of the investment.
Ford Motor Co
d. CUSIP (if any).
345370CW8
At least one of the following other identifiers:
- ISIN
US345370CW84
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BK953L7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
580000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
709841.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.417908934437

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-04-22
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HANESBRANDS INC
b. LEI (if any) of issuer. (1)
GX5LWVWZLL5S4W1L2F20
c. Title of the issue or description of the investment.
Hanesbrands Inc
d. CUSIP (if any).
410345AL6
At least one of the following other identifiers:
- ISIN
US410345AL67
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ30506
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
450000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
481497.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.283474768580

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
Origen Manufactured Housing
b. LEI (if any) of issuer. (1)
549300IF0XI4ZS5JC782
c. Title of the issue or description of the investment.
Origen Manufactured Housing Contract Trust 2006-A
d. CUSIP (if any).
68620BAB8
At least one of the following other identifiers:
- ISIN
US68620BAB80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
470356.24050000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
452867.66000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.266619221203

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-10-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.61560000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
SANDS CHINA LTD
b. LEI (if any) of issuer. (1)
549300EVO6UZDGY05787
c. Title of the issue or description of the investment.
Sands China Ltd
d. CUSIP (if any).
80007RAP0
At least one of the following other identifiers:
- ISIN
US80007RAP01
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BNTFP23
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
235618.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.138717098116

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-08
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.85000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
HUMANA INC
b. LEI (if any) of issuer. (1)
529900YLDW34GJAO4J06
c. Title of the issue or description of the investment.
Humana Inc
d. CUSIP (if any).
444859BF8
At least one of the following other identifiers:
- ISIN
US444859BF87
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYZKXV4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1312446.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.772683768946

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.95000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Mortgage Pro
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RAMP Series 2005-SL2 Trust
d. CUSIP (if any).
76112BVB3
At least one of the following other identifiers:
- ISIN
US76112BVB34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2223.38000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1965.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.001157082885

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-02-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 51

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATWEST GROUP PLC
b. LEI (if any) of issuer. (1)
2138005O9XJIJN4JPN90
c. Title of the issue or description of the investment.
NatWest Group PLC
d. CUSIP (if any).
780099CH8
At least one of the following other identifiers:
- ISIN
US780099CH81
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMSSMC5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1330000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1434845.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.844744598754

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-05-28
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOLDMAN SACHS & CO. LLC
b. LEI (if any) of issuer. (1)
FOR8UP27PHTHYVLBNG30
c. Title of the issue or description of the investment.
Goldman Sachs & Co
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP871714
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-901623.56000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-901623.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.53081770375

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

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 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30

c. Tri-party? Yes No
d. Repurchase rate.
0.50000000
e. Maturity date.
2029-02-01
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 1000000.00000000 United States Dollar 1077710.00000000 United States Dollar Corporate debt securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

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

Item C.1. Identification of investment.

a. Name of issuer (if any).
CELLNEX FINANCE CO SA
b. LEI (if any) of issuer. (1)
549300OUROMFTRFA7T23
c. Title of the issue or description of the investment.
Cellnex Finance Co SA
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
XS2300293003
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BLH23Q2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
Euro Member Countries
e. Value. (4)
542270.97000000
f. Exchange rate.
0.87834870
g. Percentage value compared to net assets of the Fund.
0.319254114331

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 54

Item C.1. Identification of investment.

a. Name of issuer (if any).
ENERGY TRANSFER LP
b. LEI (if any) of issuer. (1)
MTLVN9N7JE8MIBIJ1H73
c. Title of the issue or description of the investment.
Energy Transfer LP
d. CUSIP (if any).
29273VAJ9
At least one of the following other identifiers:
- ISIN
US29273VAJ98
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMHR7V7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
510000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
485096.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.285593597834

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
N/A
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.62500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 55

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHARTER COMM OPT LLC/CAP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Charter Communications Operating LLC / Charter Communications Operating Capital
d. CUSIP (if any).
161175BX1
At least one of the following other identifiers:
- ISIN
US161175BX17
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMF4PR2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
950553.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.559624432489

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-02-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
2.30000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 56

Item C.1. Identification of investment.

a. Name of issuer (if any).
Prime Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Prime Mortgage Trust 2005-2
d. CUSIP (if any).
74160MJA1
At least one of the following other identifiers:
- ISIN
US74160MJA18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1115944.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
80910.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.047634792845

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-10-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.74300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 57

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Asset Securities Co
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-9A
d. CUSIP (if any).
86359ARF2
At least one of the following other identifiers:
- ISIN
US86359ARF20
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B0CC058
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
39109.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
40846.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.024047485990

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-03-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.21734100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 58

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHARTER COMM OPT LLC/CAP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Charter Communications Operating LLC / Charter Communications Operating Capital
d. CUSIP (if any).
161175BA1
At least one of the following other identifiers:
- ISIN
US161175BA14
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYQ7R23
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1130000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1546475.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.910464830769

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-10-23
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.48400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 59

Item C.1. Identification of investment.

a. Name of issuer (if any).
BRISTOL-MYERS SQUIBB CO
b. LEI (if any) of issuer. (1)
HLYYNH7UQUORYSJQCN42
c. Title of the issue or description of the investment.
Bristol-Myers Squibb Co
d. CUSIP (if any).
110122CP1
At least one of the following other identifiers:
- ISIN
US110122CP17
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMWV996
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
780000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
854901.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.503310861562

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-07-26
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.40000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 60

Item C.1. Identification of investment.

a. Name of issuer (if any).
TRANSPORT DE GAS DEL SUR
b. LEI (if any) of issuer. (1)
5299002TRC7IFQYSW596
c. Title of the issue or description of the investment.
Transportadora de Gas del Sur SA
d. CUSIP (if any).
893870AX3
At least one of the following other identifiers:
- ISIN
US893870AX30
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDFBVW7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
300000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
276438.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.162748835434

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-05-02
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 61

Item C.1. Identification of investment.

a. Name of issuer (if any).
MPT OPER PARTNERSP/FINL
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MPT Operating Partnership LP / MPT Finance Corp
d. CUSIP (if any).
55342UAH7
At least one of the following other identifiers:
- ISIN
US55342UAH77
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDG75P5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1571220.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.925032829102

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 62

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley Capital Inc
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley ABS Capital I Inc Trust 2004-HE7
d. CUSIP (if any).
61744CGD2
At least one of the following other identifiers:
- ISIN
US61744CGD20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
953860.76000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
949638.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.559085627741

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.00188000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 63

Item C.1. Identification of investment.

a. Name of issuer (if any).
SUMMIT MID HLDS LLC / FI
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Summit Midstream Holdings LLC / Summit Midstream Finance Corp
d. CUSIP (if any).
86614WAE6
At least one of the following other identifiers:
- ISIN
US86614WAE66
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMVRF42
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
280000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
292031.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.171929339707

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-10-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 64

Item C.1. Identification of investment.

a. Name of issuer (if any).
AHOLD LEASE SERIES 2001-
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Ahold Lease Series 2001-A-2 Pass Through Trust
d. CUSIP (if any).
00868PAA3
At least one of the following other identifiers:
- ISIN
US00868PAA30
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B0136F4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
218086.66000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
241617.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.142248845221

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2025-01-02
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
8.62000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 65

Item C.1. Identification of investment.

a. Name of issuer (if any).
NATWEST MARKETS NV
b. LEI (if any) of issuer. (1)
X3CZP3CK64YBHON1LE12
c. Title of the issue or description of the investment.
NatWest Markets NV
d. CUSIP (if any).
00077TAA2
At least one of the following other identifiers:
- ISIN
US00077TAA25
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
2613150
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
140000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
151856.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.089403102399

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 66

Item C.1. Identification of investment.

a. Name of issuer (if any).
CITIGROUP INC
b. LEI (if any) of issuer. (1)
6SHGI4ZSSLCXXQSBB395
c. Title of the issue or description of the investment.
Citigroup Inc
d. CUSIP (if any).
172967JM4
At least one of the following other identifiers:
- ISIN
US172967JM45
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BWXV3H1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
900000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
965250.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.568276841111

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
N/A
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.95000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 67

Item C.1. Identification of investment.

a. Name of issuer (if any).
BANK OF AMERICA CORP
b. LEI (if any) of issuer. (1)
9DJT3UXIJIZJI4WXO774
c. Title of the issue or description of the investment.
Bank of America Corp
d. CUSIP (if any).
060505FL3
At least one of the following other identifiers:
- ISIN
US060505FL38
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BF28VZ8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
350000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
389812.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.229496416602

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
N/A
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 68

Item C.1. Identification of investment.

a. Name of issuer (if any).
Regal Trust IV
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Regal Trust IV
d. CUSIP (if any).
758842AA6
At least one of the following other identifiers:
- ISIN
US758842AA60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1370.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1347.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000793315058

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-09-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.73800000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 69

Item C.1. Identification of investment.

a. Name of issuer (if any).
GOLDMAN SACHS GROUP INC
b. LEI (if any) of issuer. (1)
784F5XWPLTWKTBV3E584
c. Title of the issue or description of the investment.
Goldman Sachs Group Inc/The
d. CUSIP (if any).
38145GAH3
At least one of the following other identifiers:
- ISIN
US38145GAH39
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ12537
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1750000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1865951.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.098551436462

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-11-16
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 70

Item C.1. Identification of investment.

a. Name of issuer (if any).
BPCE SA
b. LEI (if any) of issuer. (1)
9695005MSX1OYEMGDF46
c. Title of the issue or description of the investment.
BPCE SA
d. CUSIP (if any).
05578QAB9
At least one of the following other identifiers:
- ISIN
US05578QAB95
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJ316Z9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1083632.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.637972879791

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-07-21
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.15000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 71

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOEING CO
b. LEI (if any) of issuer. (1)
RVHJWBXLJ1RFUBSY1F30
c. Title of the issue or description of the investment.
Boeing Co/The
d. CUSIP (if any).
097023AU9
At least one of the following other identifiers:
- ISIN
US097023AU94
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
2341116
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
760903.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.447970623316

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.12500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 72

Item C.1. Identification of investment.

a. Name of issuer (if any).
ALTRIA GROUP INC
b. LEI (if any) of issuer. (1)
XSGZFLO9YTNO9VCQV219
c. Title of the issue or description of the investment.
Altria Group Inc
d. CUSIP (if any).
02209SBD4
At least one of the following other identifiers:
- ISIN
US02209SBD45
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BJ2WB70
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
250000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
282225.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.166155976693

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-02-14
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.80000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 73

Item C.1. Identification of investment.

a. Name of issuer (if any).
SUZANO AUSTRIA GMBH
b. LEI (if any) of issuer. (1)
254900287ZNSGVP1R341
c. Title of the issue or description of the investment.
Suzano Austria GmbH
d. CUSIP (if any).
05674XAA9
At least one of the following other identifiers:
- ISIN
US05674XAA90
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYP5W01
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
950000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1085626.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.639146894707

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-07-14
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 74

Item C.1. Identification of investment.

a. Name of issuer (if any).
COMCAST CORP
b. LEI (if any) of issuer. (1)
51M0QTTNCGUN7KFCFZ59
c. Title of the issue or description of the investment.
Comcast Corp
d. CUSIP (if any).
20030NCR0
At least one of the following other identifiers:
- ISIN
US20030NCR08
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BGGFKG6
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1062947.73000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.625794952884

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-04-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.70000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 75

Item C.1. Identification of investment.

a. Name of issuer (if any).
PARTY CITY HOLDINGS INC
b. LEI (if any) of issuer. (1)
5493005PYM1JS6EZN307
c. Title of the issue or description of the investment.
Party City Holdings Inc
d. CUSIP (if any).
702150AG8
At least one of the following other identifiers:
- ISIN
US702150AG84
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BM8C3F7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
480000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
496099.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.292071159030

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-02-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 76

Item C.1. Identification of investment.

a. Name of issuer (if any).
PROVINCIA DE BUENOS AIRE
b. LEI (if any) of issuer. (1)
549300L6AYROPOTQ4L07
c. Title of the issue or description of the investment.
Provincia de Buenos Aires/Government Bonds
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- ISIN
XS2385150417
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BMDHK89
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
468826.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
201009.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.118341401720

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-01
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.90000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 77

Item C.1. Identification of investment.

a. Name of issuer (if any).
SUNNOVA ENERGY CORP
b. LEI (if any) of issuer. (1)
549300TH3GCD8YQUDR46
c. Title of the issue or description of the investment.
Sunnova Energy Corp
d. CUSIP (if any).
86745GAF0
At least one of the following other identifiers:
- ISIN
US86745GAF00
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BL592Z7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
610000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
622834.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.366684651318

Item C.3. Payoff profile.

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

Item C.4. Asset and issuer type.

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

Item C.5. Country of investment or issuer.

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

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

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

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

Item C.8. Fair value level.

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

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-09-01
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument Record Name of issuer Title of issue Currency in which denominated

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

Bond Currency Record Conversion ratio per 1000 units ISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 78

Item C.1. Identification of investment.

a. Name of issuer (if any).
KAZMUNAYGAS NATIONAL CO
b. LEI (if any) of issuer. (1)
2138001H1M69RFJCSH88
c. Title of the issue or description of the investment.
KazMunayGas National Co JSC
d. CUSIP (if any).
48667QAN5
At least one of the following other identifiers:
- ISIN
US48667QAN51
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ0X445
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
770000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
851866.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.