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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Acorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Acorn Re 2021-1 Class A |
| d. CUSIP (if any).
| 00485YAC3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US00485YAC30 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 38311000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 38250755.950000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.1564634441 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
| 
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-11-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Acorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Acorn Re 2023-1 Class A |
| d. CUSIP (if any).
| 00485YAD1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US00485YAD13 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11053000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11294883.850000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3414865917 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-11-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Aquila Re I Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Aquila Re I 2023-1 Class C-1 |
| d. CUSIP (if any).
| 03843AAC6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US03843AAC62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11472000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12223416.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3695595921 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Armor Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300X573KDIHEJL317 |
| c. Title of the issue or description of the investment.
| Armor Re II 2024-1 Class A |
| d. CUSIP (if any).
| 04227FAE5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US04227FAE51 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16231000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 16934849.200000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5120038426 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Atlas Capital Reinsurance 2022 DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400L9LFWNWH1AKY11 |
| c. Title of the issue or description of the investment.
| Atlas Capital 2022 DAC 2022-1 Class A |
| d. CUSIP (if any).
| 04921WAA5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US04921WAA53 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16012000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 16366617.760000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4948240805 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bayou Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bayou Re 2023-1 Class B |
| d. CUSIP (if any).
| 07304LAB7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US07304LAB71 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8678000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9632033.290000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2912123987 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-05-26 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bowline Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bowline Re 2022-1 Class A |
| d. CUSIP (if any).
| 10260PAD0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US10260PAD06 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2652000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2694432.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0814627589 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-05-23 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Caelus Re V Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Caelus Re 2018-1 Class A |
| d. CUSIP (if any).
| 12765KAE5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US12765KAE55 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CAELUS |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2319000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1832010.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0553885156 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Charles River Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Charles River Re 2024-1 Class A |
| d. CUSIP (if any).
| 159873AA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US159873AA63 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11775000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12094479.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3656613533 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-10 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eden Re II Segregated Account 2024-1 |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment.
| Eden Re II 2024-1 Class B |
| d. CUSIP (if any).
| 27954UAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27954UAB89 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 37000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 42373877.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.2811208299 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-03-17 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eden Re II Segregated Account 2022-1 |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment.
| Eden Re II 2022-1 Class A |
| d. CUSIP (if any).
| 27955KAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27955KAA16 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 524826.610000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 401804.200000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0121480441 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eden Re II Segregated Account 2022-1 |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment.
| Eden Re II 2022-1 Class B |
| d. CUSIP (if any).
| 27955KAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27955KAB98 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1119756.660000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1018870.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0308042606 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Everglades Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493000EE11S6ONK0372 |
| c. Title of the issue or description of the investment.
| Everglades Re II 2024-1 Class B |
| d. CUSIP (if any).
| 30014LAN4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US30014LAN47 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 38499000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 40267759.560000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.2174450086 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-13 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Fish Pond Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Fish Pond Re 2024-1 Class A |
| d. CUSIP (if any).
| 33774EAA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33774EAA29 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9081000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9258597.120000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2799220263 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2022-1 Class A |
| d. CUSIP (if any).
| 33975CAJ4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAJ45 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 18541000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 18968852.120000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5734993599 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-02-25 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2023-1 Class B |
| d. CUSIP (if any).
| 33975CAN5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAN56 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3536000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3093998.230000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0935431408 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-11 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Four Lakes Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300MG4RRU6DT7MN54 |
| c. Title of the issue or description of the investment.
| Four Lakes Re 2023-1 Class A |
| d. CUSIP (if any).
| 35087TAE8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US35087TAE82 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3003000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3061312.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0925549213 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Galileo Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300MXI75DHMS7JH38 |
| c. Title of the issue or description of the investment.
| Galileo Re 2023-1 Class A |
| d. CUSIP (if any).
| 36354TAN2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36354TAN28 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12112000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12542999.460000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3792217956 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2024-2 Class C |
| d. CUSIP (if any).
| 36779CAJ5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAJ53 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13159000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12933033.650000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3910139882 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-23 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Herbie Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Herbie Re 2021-1 Class A |
| d. CUSIP (if any).
| 42703VAE3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42703VAE39 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4409462.370000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3902374.200000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1179833704 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hestia Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRKQ1ZKOXEMZ38 |
| c. Title of the issue or description of the investment.
| Hestia Re 2022-1 Class A |
| d. CUSIP (if any).
| 42815KAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42815KAA07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16247000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13403775.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4052462602 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-22 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| 3264 Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| 3264 Re 2024-1 Class A |
| d. CUSIP (if any).
| 88577CAC5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US88577CAC55 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1846577.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0558289381 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Baldwin Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Baldwin Re 2023-1 Class A |
| d. CUSIP (if any).
| 05826BAB2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US05826BAB27 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3631000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3717268.930000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1123869456 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bowline Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bowline Re 2022-1 Class B |
| d. CUSIP (if any).
| 10260PAE8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US10260PAE88 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2431000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2490548.560000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0752985998 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-05-23 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Catahoula II Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Catahoula Re II 2022-1 Class B |
| d. CUSIP (if any).
| 148805AB0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US148805AB01 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7073000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7413826.650000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2241477139 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-16 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eden Re II Segregated Account 2021-1 |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment.
| Eden Re II 2021-1 Class A |
| d. CUSIP (if any).
| 27955HAA8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27955HAA86 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 688638.830000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| .000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0000000000 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eden Re II Segregated Account 2021-1 |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment.
| Eden Re II 2021-1 Class B |
| d. CUSIP (if any).
| 27955HAB6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27955HAB69 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 823112.530000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 101212.770000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0030600407 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493000ENKV5WXNA8Z86 |
| c. Title of the issue or description of the investment.
| Gateway Re II 2023-1 Class A |
| d. CUSIP (if any).
| 367927AA8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US367927AA84 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4542000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4836650.900000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1462300501 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-27 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Integrity Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Integrity Re 2022-1 Class A |
| d. CUSIP (if any).
| 45833UAF8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US45833UAF84 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5968000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 746000.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0225543707 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Integrity Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Integrity Re 2023-1 Class A |
| d. CUSIP (if any).
| 45833UAH4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US45833UAH41 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5139000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5036209.720000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1522634597 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kendall Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Kendall Re 2024-1 Class A |
| d. CUSIP (if any).
| 48878QAD2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US48878QAD25 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11957000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12365534.820000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3738563757 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-30 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2019-1 Class A-1 |
| d. CUSIP (if any).
| 49407PAA8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAA84 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | KILREL |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5462090.700000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5164952.970000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1561558498 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2021-1 Class B-1 |
| d. CUSIP (if any).
| 49407PAF7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAF71 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2500000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2508211.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0758326090 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| MetroCat Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Metrocat Re 2023-1 Class A |
| d. CUSIP (if any).
| 59165HAD1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59165HAD17 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2429000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2490026.200000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0752828069 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-05-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Montoya Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Montoya Re 2022-2 Class A |
| d. CUSIP (if any).
| 613752AB0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US613752AB07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1319000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1430702.810000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0432554980 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2020 Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2020-II Class 3 |
| d. CUSIP (if any).
| 76120AAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76120AAB89 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 914000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 909553.390000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0274992015 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sabine Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sabine Re 2024-1 Class A |
| d. CUSIP (if any).
| 785628AA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US785628AA63 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5786000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5998343.310000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1813523574 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sakura Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sakura Re 2022-1 Class A |
| d. CUSIP (if any).
| 79381MAC8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US79381MAC82 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5224000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5533422.740000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1672960693 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2023-2 Class A |
| d. CUSIP (if any).
| 799925AA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US799925AA07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16799000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 17853397.630000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5397749979 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2022-2 Class A |
| d. CUSIP (if any).
| 80001EAA8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001EAA82 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10138000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10388145.010000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3140724845 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900VRQU0N0MF3CT92 |
| c. Title of the issue or description of the investment.
| Sanders Re II 2021-2 Class B |
| d. CUSIP (if any).
| 80001MAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001MAB81 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1500000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1370758.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0414431573 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Stabilitas Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Stabilitas Re 2023-1 Class A |
| d. CUSIP (if any).
| 85237TAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US85237TAA07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1500000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1545959.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0467401314 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Torrey Pines Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Torrey Pines Re 2024-1 Class C |
| d. CUSIP (if any).
| 89141WAK8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89141WAK80 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7541000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7753663.740000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2344222604 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Ursa Re II 2022-2 Class AA |
| d. CUSIP (if any).
| 91734PAF3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US91734PAF36 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2419000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2503596.060000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0756930746 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XII Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XII 2021 Class A |
| d. CUSIP (if any).
| 92849VAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92849VAA17 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14608000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14607240.380000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4416315207 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Winston RE Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549001Q4VX5Y31QFJ88 |
| c. Title of the issue or description of the investment.
| Winston Re 2024-1 Class B |
| d. CUSIP (if any).
| 975660AB7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US975660AB76 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4051000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3354975.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1014334572 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-02-26 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Wrigley Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Wrigley Re 2023-1 Class A |
| d. CUSIP (if any).
| 982533AB7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US982533AB77 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5603000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5757065.690000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1740576323 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-08-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Yosemite Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Yosemite Re 2022-1 Class A |
| d. CUSIP (if any).
| 98740RAA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US98740RAA77 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4421000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4560261.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1378737646 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Peregrine HYR (Peregrine Segregated Account) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Peregrine HYR |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | PEREGRINEHYR |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1800000.000000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 23333277.600000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7054522690 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| RR-JP US |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| RR-JP US |
| d. CUSIP (if any).
| N/A |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RR-JP US00485YAD13 112524 102524 |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| -5000000.03 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| -5000000.03 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| -0.1511687053 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Repurchase agreement
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| Name of counterparty.
| J.P. Morgan Securities LLC |
| LEI (if any) of counterparty.
| ZBUT11V806EZRVTWT807 |
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| 6.230000000000 |
| e. Maturity date.
| 2024-11-25 |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
| i. Principal amount.
| 16407980 |
| ISO Currency Code
|
United States Dollar
|
| ii. Value of collateral.
| 16286101.6545073 |
| ISO Currency Code
|
United States Dollar
|
| iii. Category of investments that most closely represents the collateral, selected from among the following (asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; private label collateralized mortgage obligations; corporate debt securities; equities; money market; U.S. Treasuries (including strips); other instrument). If "other instrument," include a brief description, including, if applicable, whether it is a collateralized debt obligation, municipal debt, whole loan, or international debt.
|
Corporate debt securities
|
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Thopas Re Ltd. Segregated Account 2024-2 (S) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Thopas Re Ltd. 2024-2 (S) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | THOPAS 2024 |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 105940.740000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11527922.020000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3485322073 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Totara Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 984500B2A09D0F655059 |
| c. Title of the issue or description of the investment.
| Totara Re Pte. 2023-1 |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2630523749 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 17205000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
New Zealand Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10521238.810000000000 |
| Exchange rate.
| 1.673080000000 |
| Percentage value compared to net assets of the Fund.
| 0.3180964080 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| IBRD |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment.
| IBRD CAR 136 |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2806459314 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 24768000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 24309990.140000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7349819428 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-12-29 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sakura Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sakura Re 2021-1 Class B |
| d. CUSIP (if any).
| 79381MAB0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US79381MAB00 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11656000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11654426.440000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3523569092 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2022-1 Class B |
| d. CUSIP (if any).
| 80000XAB5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80000XAB55 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6189000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5861827.800000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1772249828 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Solomon Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Solomon Re 2023-1 Class A |
| d. CUSIP (if any).
| 83427GAA3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US83427GAA31 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4719000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4849334.060000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1466135094 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Ursa Re II 2022-1 Class A |
| d. CUSIP (if any).
| 91734PAD8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US91734PAD87 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14749000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14840620.790000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4486874835 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-16 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Ursa Re II 2022-1 Class E |
| d. CUSIP (if any).
| 91734PAE6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US91734PAE60 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3094000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3111292.370000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0940660073 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-16 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Alamo Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003E22VRD25G0S03 |
| c. Title of the issue or description of the investment.
| Alamo Re 2022-1 Class A |
| d. CUSIP (if any).
| 011395AH3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US011395AH35 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 17598000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 17951024.680000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5427266288 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Alamo Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003E22VRD25G0S03 |
| c. Title of the issue or description of the investment.
| Alamo Re 2024-1 Class C |
| d. CUSIP (if any).
| 011395AQ3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US011395AQ34 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 45353000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 47925376.810000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.4489634243 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Aragonite Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Aragonite Re 2024-1 Class A |
| d. CUSIP (if any).
| 03851YAA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US03851YAA73 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7442000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7589876.260000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2294703522 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Blue Halo Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Blue Halo Re 2022-1 Class A |
| d. CUSIP (if any).
| 095538AF1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US095538AF12 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4583000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4590094.480000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1387757271 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-02-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Blue Ridge Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Blue Ridge Re 2023-1 Class B |
| d. CUSIP (if any).
| 096003AB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US096003AB44 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 22115000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 22979574.870000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6947585123 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2023-1 Class A |
| d. CUSIP (if any).
| 59013MAH5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAH51 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7899000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8301434.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2509834136 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2023-2 Class A |
| d. CUSIP (if any).
| 59013MAJ1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAJ18 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11036000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11700091.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3537375287 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| MSILF Government Portfolio |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300BI6Y5SI6BYPB26 |
| c. Title of the issue or description of the investment.
| MSILF Government Portfolio |
| d. CUSIP (if any).
| 61747C707 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US61747C7074 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | MVRXX |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 113132045.050000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 113132045.050000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 3.4204049359 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Registered fund
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Baltic PCC Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300GX6EH3ZRCQFX14 |
| c. Title of the issue or description of the investment.
| Baltic PCC 2022-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2451864107 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6761000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United Kingdom Pound
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8632366.900000000000 |
| Exchange rate.
| .775520000000 |
| Percentage value compared to net assets of the Fund.
| 0.2609887441 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Aquila Re I Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Aquila Re I 2023-1 Class A-1 |
| d. CUSIP (if any).
| 03843AAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US03843AAA07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3485000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3605919.050000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1090204222 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Atlas Capital DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400CBPJFGGWD2AH20 |
| c. Title of the issue or description of the investment.
| Atlas Capital DAC 2023-1 Class A |
| d. CUSIP (if any).
| 049207AA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US049207AA14 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1023507.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0309444605 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2019-2 Class B-2 |
| d. CUSIP (if any).
| 49407PAD2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAD24 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | KILREL |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8178000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8173911.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2471279072 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2021-1 Class A-1 |
| d. CUSIP (if any).
| 49407PAE0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAE07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7294000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7362603.720000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2225990531 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2021-2 Class A-2 |
| d. CUSIP (if any).
| 49407PAH3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAH38 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5968000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6007636.470000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1816333244 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Matterhorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRZ77PO1BYWT39 |
| c. Title of the issue or description of the investment.
| Matterhorn Re SR2020-2 Class A |
| d. CUSIP (if any).
| 577092AD1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US577092AD19 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | MATTRE |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4183480.630000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3346784.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1011858154 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mystic Re IV Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mystic Re IV 2023-1 Class A |
| d. CUSIP (if any).
| 62865LAD9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62865LAD91 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12098000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12572132.720000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3801026030 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nakama Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549003ZFVVVVKMRJ633 |
| c. Title of the issue or description of the investment.
| Nakama Re 2020-1 Class 1 |
| d. CUSIP (if any).
| 62983QAM5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62983QAM50 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | NAKAMA |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2129000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2124026.660000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0642172717 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-14 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nakama Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Nakama Re Pte. 2021-1 Class 1 |
| d. CUSIP (if any).
| 62984JAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62984JAA60 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 23778000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 23702611.850000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7166186250 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-10-13 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nature Coast Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Nature Coast Re 2023-1 Class B |
| d. CUSIP (if any).
| 63901CAB7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US63901CAB72 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4156000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4193198.280000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1267760703 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-12-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Purple Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Purple Re 2023-1 Class A |
| d. CUSIP (if any).
| 74639NAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US74639NAA19 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9109000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9025183.540000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2728650606 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Queen Street 2023 Re DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400VHHVVMXL5BJI05 |
| c. Title of the issue or description of the investment.
| Queen Street 2023 Re DAC |
| d. CUSIP (if any).
| 747977AA4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US747977AA45 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13246000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13596416.310000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4110705277 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-12-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2022 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2022-I Class 11 |
| d. CUSIP (if any).
| 76119YAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76119YAB92 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3094000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2762286.070000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0835142413 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2020 Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2020-II Class 4 |
| d. CUSIP (if any).
| 76120AAC6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76120AAC62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4404000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4385018.760000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1325755210 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2024-1 Class A |
| d. CUSIP (if any).
| 799927AA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US799927AA62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16873000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 17465166.370000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5280373145 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sector Re V Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment.
| Sector Re V Series 2024-Apr Class GL-R |
| d. CUSIP (if any).
| 81369AEQ1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US81369AEQ13 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 15407864.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 17636991.640000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5332322352 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-12-01 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sussex Capital UK PCC Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493000Y0TDZ1NVT8T25 |
| c. Title of the issue or description of the investment.
| Sussex Capital UK PCC 2020-1 |
| d. CUSIP (if any).
| 869255AA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US869255AA73 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13962000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14023104.690000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4239709136 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sutter Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sutter Re 2023-1 Class B |
| d. CUSIP (if any).
| 86944RAE8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US86944RAE80 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 18627000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 19235087.730000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5815486583 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sutter Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sutter Re 2023-1 Class E |
| d. CUSIP (if any).
| 86944RAF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US86944RAF55 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 18034000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 18803537.830000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5685012905 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Tomoni Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Tomoni Re Pte 2022-1 Class B-1 |
| d. CUSIP (if any).
| 89009PAB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89009PAB40 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2999037.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0906721076 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Topanga Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Topanga Re 2021-1 Class A |
| d. CUSIP (if any).
| 89055TAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89055TAA16 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6189000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6154499.420000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1860735407 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Topanga Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Topanga Re 2021-1 Class B |
| d. CUSIP (if any).
| 89055TAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89055TAB98 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2652000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2081820.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0629412064 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-04 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Torrey Pines Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Torrey Pines Re 2022-1 Class A |
| d. CUSIP (if any).
| 89141WAD4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89141WAD48 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 19855000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 19982012.440000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6041309865 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Torrey Pines Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Torrey Pines Re 2022-1 Class B |
| d. CUSIP (if any).
| 89141WAE2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89141WAE21 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11378000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11467334.370000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3467004160 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300O8X4DWGDJZ6W59 |
| c. Title of the issue or description of the investment.
| Ursa Re 2023-1 Class AA |
| d. CUSIP (if any).
| 90323WAL4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90323WAL46 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4722000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4813637.490000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1455342686 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Umigame Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Umigame Re 2021-1 Class A-2 |
| d. CUSIP (if any).
| 90421FAB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90421FAB40 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1003395.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0303363996 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Ursa Re II 2021-1 Class F |
| d. CUSIP (if any).
| 91734PAC0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US91734PAC05 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8620000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8611892.890000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2603697382 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Veraison Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549007WYB39A966J434 |
| c. Title of the issue or description of the investment.
| Veraison Re 2023-1 Class A |
| d. CUSIP (if any).
| 92335TAA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92335TAA79 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4854000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5056426.360000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1528746844 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XIII Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XIII 2022 Class A |
| d. CUSIP (if any).
| 92849MAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92849MAA18 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3880000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3857794.760000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1166355672 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XIII Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XIII 2022 Class B |
| d. CUSIP (if any).
| 92849MAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92849MAB90 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5635000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5591483.710000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1690514697 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Lion III Re DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 6354006E8VRXKKHS6U06 |
| c. Title of the issue or description of the investment.
| Lion III Re DAC 2021-1 |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2356204052 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5493000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5884694.340000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.1779163239 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-16 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hexagon III Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 9845003Q740XB9CF0598 |
| c. Title of the issue or description of the investment.
| Hexagon III Re Pte. Class B |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2411653293 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1468460.730000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.0443970612 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-15 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Phoenix 2 Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900BAVIFK6NATLK85 |
| c. Title of the issue or description of the investment.
| Phoenix 2 Re Pte. Ltd. 2022-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2423597801 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 795450.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0240494292 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-04 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Blue Sky Re DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Blue Sky Re DAC 2023-1 |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2728630596 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3404000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3781275.150000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.1143220931 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-26 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Azzurro Re II |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400NZWVDIAI82JP08 |
| c. Title of the issue or description of the investment.
| Azzurro Re II DAC 2024-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2788028178 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7431000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8086443.250000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.2444834299 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| IBRD |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment.
| IBRD CAR 132 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2799645515 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 21820000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 22067242.420000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6671752894 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Tomoni Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Tomoni Re Pte 2024-1 Class A |
| d. CUSIP (if any).
| 89009PAE8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89009PAE88 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8062000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8076229.430000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2441746279 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Ursa Re II 2022-2 Class C |
| d. CUSIP (if any).
| 91734PAG1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US91734PAG19 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4363000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4574836.740000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1383144286 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2024-1 Class A |
| d. CUSIP (if any).
| 36779CAH9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAH97 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8623000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8518566.850000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2575481429 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-23 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Integrity Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Integrity Re 2024-1 Class C |
| d. CUSIP (if any).
| 45833UAL5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US45833UAL52 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5694000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4469784.310000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1351383006 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Matterhorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRZ77PO1BYWT39 |
| c. Title of the issue or description of the investment.
| Matterhorn Re SR2023-1 Class CYB-A |
| d. CUSIP (if any).
| 577092AV1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US577092AV17 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14530000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14630867.260000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4423458497 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mayflower Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mayflower Re 2023-1 Class B |
| d. CUSIP (if any).
| 57839MAB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US57839MAB46 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 17393000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 18123062.480000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5479279751 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nakama Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549003ZFVVVVKMRJ633 |
| c. Title of the issue or description of the investment.
| Nakama Re 2023-1 Class 2 |
| d. CUSIP (if any).
| 62983QAP8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62983QAP81 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6781000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6907041.840000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2088257133 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-05-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Palm Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 984500D3C66DA10DAP11 |
| c. Title of the issue or description of the investment.
| Palm Re 2024-1 Class A |
| d. CUSIP (if any).
| 69664FAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US69664FAA66 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10926000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11311097.800000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3419768000 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| PoleStar Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| PoleStar Re 2024-1 Class A |
| d. CUSIP (if any).
| 73110JAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US73110JAA07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9603000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9697498.320000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2931916514 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2023 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2023-II Class 2 |
| d. CUSIP (if any).
| 76090WAA8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76090WAA80 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2162000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2134398.830000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0645308612 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2022 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2022-I Class 13 |
| d. CUSIP (if any).
| 76119YAD5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76119YAD58 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11613000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11301382.560000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3416830720 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2023-1 Class A |
| d. CUSIP (if any).
| 80001QAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001QAA13 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3162000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3238283.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0979054167 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2023-1 Class B |
| d. CUSIP (if any).
| 80001QAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001QAB95 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3954000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3810155.460000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1151952529 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Lyndhurst (Horseshoe Re) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Lyndhurst (Horseshoe Re) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | LYNDHURST |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 27200.000000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 809966.470000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0244883164 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| IBRD |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment.
| IBRD CAR 131 |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2599161192 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 25833000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 26196767.390000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7920262773 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-31 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| King Max Re DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400D6MW4WMVI42S36 |
| c. Title of the issue or description of the investment.
| King Max Re DAC |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2723834052 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7406000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7969870.390000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.2409589963 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bonanza Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003F0CXUQ2C83105 |
| c. Title of the issue or description of the investment.
| Bonanza Re 2020-2 Class A |
| d. CUSIP (if any).
| 09785EAD3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US09785EAD31 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2510000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2501552.600000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0756312931 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-23 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bonanza Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003F0CXUQ2C83105 |
| c. Title of the issue or description of the investment.
| Bonanza Re 2022-2 Class A |
| d. CUSIP (if any).
| 09785EAJ0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US09785EAJ01 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3979000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3833766.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1159091030 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-16 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bonanza Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003F0CXUQ2C83105 |
| c. Title of the issue or description of the investment.
| Bonanza Re 2023-2 Class A |
| d. CUSIP (if any).
| 09785EAM3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US09785EAM30 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4406000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3629497.580000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1097332894 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Citrus Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300VWWT5SE805NK88 |
| c. Title of the issue or description of the investment.
| Citrus Re 2023-1 Class A |
| d. CUSIP (if any).
| 177510AL8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US177510AL87 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8663000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9036522.570000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2732078819 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Citrus Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300VWWT5SE805NK88 |
| c. Title of the issue or description of the investment.
| Citrus Re 2023-1 Class B |
| d. CUSIP (if any).
| 177510AM6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US177510AM60 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6655000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6950515.280000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2101400780 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Citrus Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300VWWT5SE805NK88 |
| c. Title of the issue or description of the investment.
| Citrus Re 2024-1 Class B |
| d. CUSIP (if any).
| 177510AP9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US177510AP91 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5980000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6182204.730000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1869111759 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Commonwealth Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Commonwealth Re 2023-1 Class A |
| d. CUSIP (if any).
| 203235AB2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US203235AB20 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8630000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8859834.160000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2678659303 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Everglades Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493000EE11S6ONK0372 |
| c. Title of the issue or description of the investment.
| Everglades Re II 2024-1 Class A |
| d. CUSIP (if any).
| 30014LAM6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US30014LAM63 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 36490000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 38177188.130000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.1542392137 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-13 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Fidelity Government Portfolio |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300FQDFZGLUOCWN51 |
| c. Title of the issue or description of the investment.
| Fidelity Government Portfolio |
| d. CUSIP (if any).
| 316175108 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US3161751082 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | FIGXX |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 113132045.060000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 113132045.060000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 3.4204049362 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Registered fund
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| First Coast Re III Pte. Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| First Coast Re III 2021-1 Class A |
| d. CUSIP (if any).
| 31971CAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US31971CAA18 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6288000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6324156.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1912028938 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2022-1 Class C |
| d. CUSIP (if any).
| 33975CAL9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAL90 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1487500.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0449726896 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-02-25 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Four Lakes Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300MG4RRU6DT7MN54 |
| c. Title of the issue or description of the investment.
| Four Lakes Re 2021-1 Class A |
| d. CUSIP (if any).
| 35087TAC2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US35087TAC27 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4194000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4197250.350000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1268985795 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Frontline Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Frontline 2018-1 Class A |
| d. CUSIP (if any).
| 35922QAA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US35922QAA13 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | FRNTRE |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 265400.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 88909.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0026880517 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2021-1 Class C-1 |
| d. CUSIP (if any).
| 49407PAG5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAG54 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5526000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5545172.460000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1676513073 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2021-2 Class B-2 |
| d. CUSIP (if any).
| 49407PAJ9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAJ93 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2652000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2646570.030000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0800157125 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2021-2 Class C-2 |
| d. CUSIP (if any).
| 49407PAK6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAK66 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2431000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2427287.860000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0733859922 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Lightning Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Lightning Re 2023-1 Class A |
| d. CUSIP (if any).
| 532242AA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US532242AA24 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 44870000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 47450002.570000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.4345910827 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-31 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Matterhorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRZ77PO1BYWT39 |
| c. Title of the issue or description of the investment.
| Matterhorn Re SR2022-1 Class A |
| d. CUSIP (if any).
| 577092AP4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US577092AP49 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3536000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3535996.460000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1069064007 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mayflower Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mayflower Re 2024-1 Class A |
| d. CUSIP (if any).
| 57839MAC2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US57839MAC29 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8145000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8369736.840000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2530484549 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2024-2 Class A |
| d. CUSIP (if any).
| 59013MAL6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAL63 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 21168000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 21618878.400000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6536195678 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mystic Re IV Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mystic Re IV 2021-2 Class B |
| d. CUSIP (if any).
| 62865LAC1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62865LAC19 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2250000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2271883.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0686875371 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nakama Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Nakama Re Pte. 2021-1 Class 2 |
| d. CUSIP (if any).
| 62984JAB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62984JAB44 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10155000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10104448.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3054952750 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-10-13 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nature Coast Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Nature Coast Re 2024-1 Class A |
| d. CUSIP (if any).
| 63901CAC5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US63901CAC55 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5845000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6124443.610000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1851648412 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2022-1 Class A |
| d. CUSIP (if any).
| 80000XAA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80000XAA72 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 18425000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 18328453.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5541376988 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2022-3 Class A |
| d. CUSIP (if any).
| 80000YAA5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80000YAA55 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4607000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4798082.240000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1450639752 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Titania Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493008E73M6FH2NSB56 |
| c. Title of the issue or description of the investment.
| Titania Re 2021-2 Class A |
| d. CUSIP (if any).
| 888329AB5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US888329AB58 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3979000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3983468.420000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1204351520 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-27 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300O8X4DWGDJZ6W59 |
| c. Title of the issue or description of the investment.
| Ursa Re 2023-2 Class E |
| d. CUSIP (if any).
| 90323WAN0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90323WAN02 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 22015000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 22991046.030000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6951053284 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-12-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Veraison Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549007WYB39A966J434 |
| c. Title of the issue or description of the investment.
| Veraison Re 2024-1 Class A |
| d. CUSIP (if any).
| 92335TAC3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92335TAC36 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8449000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8624367.440000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2607468905 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-03-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XV Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XV 2024 Class B |
| d. CUSIP (if any).
| 92847CAB3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92847CAB37 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2615000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2615415.790000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0790738033 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Labrador (Horseshoe Re) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Labrador (Horseshoe Re) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | LABRDOR |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 34121.000000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 59792239.660000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.8077430808 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eiffel Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493000KHTJQAOS8QP53 |
| c. Title of the issue or description of the investment.
| Eiffel Re 2023-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2641776773 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8860000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9485836.950000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.2867923364 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Orange Capital Re DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400PXTZAPQFEPH515 |
| c. Title of the issue or description of the investment.
| Orange Capital Re 2023-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2722275190 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1957000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2097453.220000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.0634138572 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Alamo Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003E22VRD25G0S03 |
| c. Title of the issue or description of the investment.
| Alamo Re 2024-1 Class A |
| d. CUSIP (if any).
| 011395AN0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US011395AN03 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 44250000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 46226780.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.3976084960 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Aquila Re I Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Aquila Re I 2024-1 Class A-1 |
| d. CUSIP (if any).
| 037987AA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US037987AA23 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5778000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5904896.440000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1785271089 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2023-3 Class A |
| d. CUSIP (if any).
| 36779CAF3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAF32 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5404000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5631946.120000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1702747997 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Integrity Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Integrity Re 2024-1 Class A |
| d. CUSIP (if any).
| 45833UAJ0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US45833UAJ07 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5694000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5521357.920000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1669313047 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Logistics Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Logistics Re 2021-1 Class A |
| d. CUSIP (if any).
| 54143LAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US54143LAA61 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4257000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4248622.220000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1284517433 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-20 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Lower Ferry Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Lower Ferry Re 2023-1 Class A |
| d. CUSIP (if any).
| 547915AA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US547915AA69 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7458000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7657400.820000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2315118722 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Matterhorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRZ77PO1BYWT39 |
| c. Title of the issue or description of the investment.
| Matterhorn Re SR2022-1 Class B |
| d. CUSIP (if any).
| 577092AQ2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US577092AQ22 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3536000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3604952.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1089911847 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| PoleStar Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| PoleStar Re 2024-3 Class A |
| d. CUSIP (if any).
| 73110JAC6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US73110JAC62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 19507000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 19475740.030000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5888244776 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Puerto Rico Parametric Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Puerto Rico Parametric Re 2024-1 Class A |
| d. CUSIP (if any).
| 74528TAA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US74528TAA25 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3132000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3263921.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0986805542 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2024 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2024-I Class 14 |
| d. CUSIP (if any).
| 76091BAC9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76091BAC90 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5160000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5167990.260000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1562476784 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2021 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2021-I Class 12 |
| d. CUSIP (if any).
| 76114NAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76114NAB82 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9621000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9483472.620000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2867208539 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2021 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2021-I Class 14 |
| d. CUSIP (if any).
| 76114NAD4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76114NAD49 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6852000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6832194.290000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2065627918 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2019 Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2019-I Class 12 |
| d. CUSIP (if any).
| 76120FAA9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76120FAA93 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | RESID |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 183217.470000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 104479.760000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0031588140 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2023 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2023-I Class 14 |
| d. CUSIP (if any).
| 76133XAB3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76133XAB38 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 24536000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 24471826.090000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7398748490 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| SD Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| SD Re 2021-1 Class A |
| d. CUSIP (if any).
| 78414BAC5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US78414BAC54 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2431000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2426450.380000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0733606721 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-11-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| SD Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| SD Re 2021-1 Class B |
| d. CUSIP (if any).
| 78414BAD3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US78414BAD38 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6852000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6838909.250000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2067658102 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-11-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re III Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sanders Re III 2022-2 Class B |
| d. CUSIP (if any).
| 80001EAB6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001EAB65 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10301000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10543068.350000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3187563966 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900VRQU0N0MF3CT92 |
| c. Title of the issue or description of the investment.
| Sanders Re II 2021-2 Class A |
| d. CUSIP (if any).
| 80001MAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001MAA09 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7770000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7789425.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2355034571 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sanders Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900VRQU0N0MF3CT92 |
| c. Title of the issue or description of the investment.
| Sanders Re II 2021-1 Class A |
| d. CUSIP (if any).
| 80001PAA3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US80001PAA30 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14115000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14127343.570000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4271224449 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sector Re V Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment.
| Sector Re V Series 2022-Dec Class GL-R |
| d. CUSIP (if any).
| 81369AEG3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US81369AEG31 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8171.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 195229.670000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0059025233 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-12-01 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sector Re V Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment.
| Sector Re V Series 2023-Apr Class GL-R |
| d. CUSIP (if any).
| 81369AEL2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US81369AEL26 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 21867.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 989491.240000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0299160218 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-03-01 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Rondout (Artex Segregated Account Company) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Rondout (Artex Segregated Account Company) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | RONDOUT |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 150089.608500000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 132521163.100000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 4.0066105070 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| IBRD |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment.
| IBRD CAR 134 Class C |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2799645788 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16468000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 17299494.020000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5230284196 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2021 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2021-I Class 11 |
| d. CUSIP (if any).
| 76114NAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76114NAA00 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8427000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7182445.860000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2171522071 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Re 2021 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2021-I Class 13 |
| d. CUSIP (if any).
| 76114NAC6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76114NAC65 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5305000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5317037.050000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1607539204 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sector Re V Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QS6XPZQHTCEJ97 |
| c. Title of the issue or description of the investment.
| Sector Re V Series 2023-Dec Class GL-R |
| d. CUSIP (if any).
| 81369AEN8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US81369AEN81 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3812600.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4892083.400000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1479059819 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-12-01 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Taranis Reinsurance DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400FQ9HHTLYKADZ22 |
| c. Title of the issue or description of the investment.
| Taranis Re DAC 2023-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2721087653 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2384000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2599684.930000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.0785982006 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Acorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Acorn Re 2024-1 Class A |
| d. CUSIP (if any).
| 00485YAE9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US00485YAE95 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12524000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12523361.280000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3786280600 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-11-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Acorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Acorn Re 2024-1 Class B |
| d. CUSIP (if any).
| 00485YAF6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US00485YAF60 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13140000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13139329.860000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3972510944 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-11-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Astro Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Astro Re 2021-1 Class A |
| d. CUSIP (if any).
| 04638WAA9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US04638WAA99 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3183000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1114050.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0336818990 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| 3264 Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| 3264 Re 2022-1 Class A |
| d. CUSIP (if any).
| 88577CAB7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US88577CAB72 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7957000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5220985.550000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1578499243 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Tomoni Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Tomoni Re Pte 2022-1 Class A-1 |
| d. CUSIP (if any).
| 89009PAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89009PAA66 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4678000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4693638.550000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1419062517 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Torrey Pines Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Torrey Pines Re 2024-1 Class B |
| d. CUSIP (if any).
| 89141WAJ1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89141WAJ18 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 15920000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 16411044.440000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4961672653 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300O8X4DWGDJZ6W59 |
| c. Title of the issue or description of the investment.
| Ursa Re 2023-1 Class C |
| d. CUSIP (if any).
| 90323WAM2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90323WAM29 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4543000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4670226.720000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1411984245 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Umigame Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Umigame Re 2021-1 Class A-1 |
| d. CUSIP (if any).
| 90421FAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90421FAA66 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2575000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2580739.680000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0780254148 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Veraison Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549007WYB39A966J434 |
| c. Title of the issue or description of the investment.
| Veraison Re 2023-1 Class B |
| d. CUSIP (if any).
| 92335TAB5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92335TAB52 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7885000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8441361.660000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2552139411 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vista Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vista Re 2022-1 Class A |
| d. CUSIP (if any).
| 92840DAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92840DAB82 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3979000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4077287.270000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1232716468 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-05-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Alamo Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003E22VRD25G0S03 |
| c. Title of the issue or description of the investment.
| Alamo Re 2024-1 Class B |
| d. CUSIP (if any).
| 011395AP5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US011395AP50 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 56072000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 58290292.430000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.7623335975 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Baldwin Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Baldwin Re 2021-1 Class A |
| d. CUSIP (if any).
| 05826BAA4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US05826BAA44 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14346000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14326812.230000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4331531287 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bayou Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bayou Re 2023-1 Class A |
| d. CUSIP (if any).
| 07304LAA9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US07304LAA98 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5665000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6065235.080000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1833747458 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-05-26 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bayou Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bayou Re 2024-1 Class B |
| d. CUSIP (if any).
| 07304LAD3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US07304LAD38 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4958000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5378299.580000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1626061159 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-30 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Claveau Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Claveau Re 2021-1 Class A |
| d. CUSIP (if any).
| 182896AA8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US182896AA84 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6556009.770000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4752123.680000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1436744760 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Commonwealth Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Commonwealth Re 2022-1 Class A |
| d. CUSIP (if any).
| 203235AA4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US203235AA47 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1773982.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0536341121 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2022-1 Class A |
| d. CUSIP (if any).
| 36779CAA4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAA45 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10140000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10356625.890000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3131195436 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-05-12 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2024-1 Class AA |
| d. CUSIP (if any).
| 36779CAG1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAG15 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9853000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10118715.700000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3059266286 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Herbie Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Herbie Re 2020-2 Class A |
| d. CUSIP (if any).
| 42703VAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42703VAB99 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6246000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6253935.540000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1890798666 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Herbie Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Herbie Re 2020-2 Class C |
| d. CUSIP (if any).
| 42703VAD5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42703VAD55 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 933284.370000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 559970.620000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0169300066 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Herbie Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Herbie Re 2022-1 Class A |
| d. CUSIP (if any).
| 42703VAF0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42703VAF04 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2306000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2528640.840000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0764502719 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hypatia Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 98450041F85DB4C2C372 |
| c. Title of the issue or description of the investment.
| Hypatia Ltd. 2023-1 Class A |
| d. CUSIP (if any).
| 44914CAC0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US44914CAC01 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2761000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2887544.910000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0873012846 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2019-2 Class A-2 |
| d. CUSIP (if any).
| 49407PAC4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAC41 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | KILREL |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8574786.810000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7876799.160000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2381451048 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Locke Tavern Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Locke Tavern Re 2023-1 Class A |
| d. CUSIP (if any).
| 539694AA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US539694AA71 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12633000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12960598.960000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3918473907 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Fuchsia 2023-1 (London Bridge 2 PCC Protected Cell) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Fuchsia 2023-1 Class A |
| d. CUSIP (if any).
| 54180TAA3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US54180TAA34 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7799000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8140861.370000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2461286932 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED KINGDOM OF GREAT BRITAIN AND NORTHERN IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Long Point Re IV Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Long Point Re IV 2022-1 Class A |
| d. CUSIP (if any).
| 54279PAA3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US54279PAA30 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 31973000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 32531584.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.9835514903 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-01 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Lower Ferry Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Lower Ferry Re 2023-1 Class B |
| d. CUSIP (if any).
| 547915AB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US547915AB43 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11681000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12054067.780000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3644395619 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Matterhorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRZ77PO1BYWT39 |
| c. Title of the issue or description of the investment.
| Matterhorn Re SR2021-1 Class A |
| d. CUSIP (if any).
| 577092AN9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US577092AN90 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13451000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13100171.020000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3960671762 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-12-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mayflower Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mayflower Re 2023-1 Class A |
| d. CUSIP (if any).
| 57839MAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US57839MAA62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8338000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8581273.660000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2594440043 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2022-2 Class A |
| d. CUSIP (if any).
| 59013MAF9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAF95 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6631000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6708237.890000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2028151262 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2024-1 Class A |
| d. CUSIP (if any).
| 59013MAK8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAK80 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16602000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 17346143.150000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5244387974 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mona Lisa Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300R6SO6XBFDC7M25 |
| c. Title of the issue or description of the investment.
| Mona Lisa Re 2021-1 Class A |
| d. CUSIP (if any).
| 608800AE8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US608800AE89 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10745000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10904568.620000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3296859021 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Purple Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Purple Re 2024-1 Class A |
| d. CUSIP (if any).
| 74639NAC7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US74639NAC74 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 27796000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 28343998.140000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.8569450954 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2023 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2023-II Class 3 |
| d. CUSIP (if any).
| 76090WAB6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76090WAB63 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7078000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7166931.530000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2166831508 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XIV Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XIV 2023 Class B |
| d. CUSIP (if any).
| 92851QAB5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92851QAB59 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2416000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2437772.990000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0737029969 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hatteras (Artex Segregated Account Company) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Hatteras (Artex Segregated Account Company) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | HATTERAS |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 37255.620000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 34651004.910000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.0476295039 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Magnolia (Artex Segregated Account Company) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Magnolia (Artex Segregated Account Company) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MAGNOLIA |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10645.520000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12488461.600000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3775729121 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hexagon IV Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 984500B4771ADC9FDE26 |
| c. Title of the issue or description of the investment.
| Hexagon IV Re 2023-1 Class A |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2710192464 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6684000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7226841.890000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.2184944651 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| IBRD |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment.
| IBRD CAR 135 Class D |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2809694198 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7236000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7519369.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2273386540 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Wrigley Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Wrigley Re 2023-1 Class B |
| d. CUSIP (if any).
| 982533AC5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US982533AC50 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12803000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13368310.060000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4041740224 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-08-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Trouvaille Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Trouvaille Re Ltd. |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | TROUVAILLERE |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 439304.000000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4875844.760000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1474150271 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Aquila Re I Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Aquila Re I 2023-1 Class B-1 |
| d. CUSIP (if any).
| 03843AAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US03843AAB89 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8077000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8520431.340000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2576045134 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Black Kite Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Black Kite Re 2022-1 Class A |
| d. CUSIP (if any).
| 092168AA1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US092168AA11 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4863000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4991779.530000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1509201689 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
HONG KONG
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Blue Ridge Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Blue Ridge Re 2023-1 Class A |
| d. CUSIP (if any).
| 096003AA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US096003AA60 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 18166000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 18488310.260000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5589707818 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Caelus Re V Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Caelus Re 2018-1 Class B |
| d. CUSIP (if any).
| 12765KAF2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US12765KAF21 |
| Identifier.
| Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | CAELUS |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1905000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4857.750000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0001468680 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Cape Lookout Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Cape Lookout Re 2022-1 Class A |
| d. CUSIP (if any).
| 13947LAD4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US13947LAD47 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 22162000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 22530587.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6811839384 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-03-28 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Cape Lookout Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Cape Lookout Re 2023-1 Class A |
| d. CUSIP (if any).
| 13947LAE2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US13947LAE20 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 26048000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 27156641.950000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.8210468760 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-28 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Cape Lookout Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Cape Lookout Re 2024-1 Class A |
| d. CUSIP (if any).
| 13947LAF9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US13947LAF94 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 49952000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 51162336.960000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.5468288387 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Citrus Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300VWWT5SE805NK88 |
| c. Title of the issue or description of the investment.
| Citrus Re 2024-1 Class A |
| d. CUSIP (if any).
| 177510AN4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US177510AN44 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3105000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3199311.270000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0967271479 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| East Lane Re VII Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| East Lane Re VII 2024-1 Class A |
| d. CUSIP (if any).
| 27332EAA9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27332EAA91 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6031000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6040143.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1826161184 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-31 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Finca Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Finca Re 2022-1 Class A |
| d. CUSIP (if any).
| 31771QAA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US31771QAA22 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3094000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3184035.400000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0962653013 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2022-1 Class B |
| d. CUSIP (if any).
| 33975CAK1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAK18 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9033000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8129659.350000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2457900143 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-02-25 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2023-1 Class A |
| d. CUSIP (if any).
| 33975CAM7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAM73 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14327000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14690920.130000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4441614726 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-03-11 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Four Lakes Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300MG4RRU6DT7MN54 |
| c. Title of the issue or description of the investment.
| Four Lakes Re 2022-1 Class A |
| d. CUSIP (if any).
| 35087TAD0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US35087TAD00 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1313000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1346332.470000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0407046670 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Arenal (Artex Segregated Account Company) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Arenal (Artex Segregated Account Company) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | ARENAL |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 18010.776000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4704233.680000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1422265821 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Galileo Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300MXI75DHMS7JH38 |
| c. Title of the issue or description of the investment.
| Galileo Re 2023-1 Class B |
| d. CUSIP (if any).
| 36354TAP7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36354TAP75 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3773000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3849842.800000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1163951497 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2023-1 Class B |
| d. CUSIP (if any).
| 36779CAD8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAD83 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3113000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3370770.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1019109992 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-02-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Integrity Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Integrity Re 2024-1 Class B |
| d. CUSIP (if any).
| 45833UAK7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US45833UAK79 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3254000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2662578.990000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0804997233 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Integrity Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Integrity Re 2024-1 Class D |
| d. CUSIP (if any).
| 45833UAM3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US45833UAM36 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8948000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5793821.050000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1751688844 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kizuna Re III Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 984500004749BBB42B88 |
| c. Title of the issue or description of the investment.
| Kizuna Re III 2024-1 Class A |
| d. CUSIP (if any).
| 49835JAB2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49835JAB26 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3081000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3104179.900000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0938509708 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2029-04-09 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Long Walk Reinsurance Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Long Walk Re 2024-1 Class A |
| d. CUSIP (if any).
| 54289CAA0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US54289CAA09 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3158000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3206227.400000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0969362484 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-30 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Longleaf Pine Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Longleaf Pine Re 2024-1 Class A |
| d. CUSIP (if any).
| 54307MAA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US54307MAA62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14579000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 15826138.690000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4784833764 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-25 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2022-1 Class A |
| d. CUSIP (if any).
| 59013MAE2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAE21 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 22511000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 22705753.920000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6864798806 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Merna Re II Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300478X5RX87PYX60 |
| c. Title of the issue or description of the investment.
| Merna Re II 2024-3 Class A |
| d. CUSIP (if any).
| 59013MAM4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US59013MAM47 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 35280000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 37094732.640000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.1215125348 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Montoya Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Montoya Re 2022-1 Class A |
| d. CUSIP (if any).
| 613752AA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US613752AA24 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8553000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8650572.620000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2615391711 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mountain Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mountain Re 2023-1 Class A |
| d. CUSIP (if any).
| 62426LAA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62426LAA70 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7804000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8103509.720000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2449994131 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Mystic Re IV Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Mystic Re IV 2021-2 Class A |
| d. CUSIP (if any).
| 62865LAB3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US62865LAB36 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 15195000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 15258439.130000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4613196950 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Nature Coast Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Nature Coast Re 2023-1 Class A |
| d. CUSIP (if any).
| 63901CAA9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US63901CAA99 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11876000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12029414.170000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3636941910 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-12-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Northshore Re II Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Northshore Re II 2022-1 Class A |
| d. CUSIP (if any).
| 666842AE9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US666842AE95 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12582000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12927960.960000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3908606218 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Pelican IV Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Pelican IV Re 2021-1 Class B |
| d. CUSIP (if any).
| 705809AD3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US705809AD36 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2873000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 143.940000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0000043518 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Phoenician Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Phoenician Re 2021-1 Class A |
| d. CUSIP (if any).
| 71880VAC1 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US71880VAC19 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12257000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12238240.660000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3700077970 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2024-12-14 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Purple Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Purple Re 2023-2 Class A |
| d. CUSIP (if any).
| 74639NAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US74639NAB91 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8212000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8437238.740000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2550892899 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2022 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2022-I Class 12 |
| d. CUSIP (if any).
| 76119YAC7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76119YAC75 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 4421000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 4075213.700000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1232089551 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Riverfront Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Riverfront Re 2021 Class B |
| d. CUSIP (if any).
| 76870YAE2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76870YAE23 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2431000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2427812.960000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0734018680 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Tomoni Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Tomoni Re Pte 2024-1 Class B |
| d. CUSIP (if any).
| 89009PAF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89009PAF53 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10129000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10244100.890000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3097174919 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Torrey Pines Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Torrey Pines Re 2023-1 Class A |
| d. CUSIP (if any).
| 89141WAF9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89141WAF95 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8738000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8920370.800000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2696961794 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Torrey Pines Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Torrey Pines Re 2024-1 Class A |
| d. CUSIP (if any).
| 89141WAH5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US89141WAH51 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 23461000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 24360834.920000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7365191707 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300O8X4DWGDJZ6W59 |
| c. Title of the issue or description of the investment.
| Ursa Re 2023-3 Class D |
| d. CUSIP (if any).
| 90323WAQ3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90323WAQ33 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 26987000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 28374050.840000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.8578537010 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-12-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Umigame Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Umigame Re 2021-1 Class B |
| d. CUSIP (if any).
| 90421FAC2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90421FAC23 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 759089.630000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0229501192 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vita Capital VI Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LLF863700IF088 |
| c. Title of the issue or description of the investment.
| Vita Capital VI 2021-1 Class B |
| d. CUSIP (if any).
| 92846DAB2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92846DAB29 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9482000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| .950000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0000000287 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XV Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XV 2024 Class A |
| d. CUSIP (if any).
| 92847CAA5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92847CAA53 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3822000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3819586.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1154803858 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Winston RE Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 2549001Q4VX5Y31QFJ88 |
| c. Title of the issue or description of the investment.
| Winston Re 2024-1 Class A |
| d. CUSIP (if any).
| 975660AA9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US975660AA93 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 9723000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 9725377.270000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2940345364 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-02-26 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hudson Charles (Mt. Logan Re) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Hudson Charles 2 (Mt. Logan Re) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | HUDSONC2 |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11534.500000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 21699884.840000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6560686955 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Phoenix 2 Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900BAVIFK6NATLK85 |
| c. Title of the issue or description of the investment.
| Phoenix Re Pte. Ltd. 2022-1 Class B |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2423598528 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 926470.590000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 921189.710000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0278510110 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-01-04 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| IBRD |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| ZTMSNXROF84AHWJNKQ93 |
| c. Title of the issue or description of the investment.
| IBRD CAR 133 Class B |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2799645606 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7616000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7636045.310000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2308662153 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2028-04-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Alamo Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493003E22VRD25G0S03 |
| c. Title of the issue or description of the investment.
| Alamo Re 2023-1 Class A |
| d. CUSIP (if any).
| 011395AJ9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US011395AJ90 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 19352000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 20162016.660000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.6095731874 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| 3264 Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| 3264 Re 2024-1 Class B |
| d. CUSIP (if any).
| 88577CAD3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US88577CAD39 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3133000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3417437.240000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1033219120 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bowline Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bowline Re 2022-1 Class C |
| d. CUSIP (if any).
| 10260PAF5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US10260PAF53 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2500000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2527350.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0764112450 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-05-23 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2024-4 Class A |
| d. CUSIP (if any).
| 36779CAL0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAL00 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5215000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5035046.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1522282761 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Herbie Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Herbie Re 2020-2 Class B |
| d. CUSIP (if any).
| 42703VAC7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42703VAC72 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3536000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3560073.090000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1076343273 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hestia Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRKQ1ZKOXEMZ38 |
| c. Title of the issue or description of the investment.
| Hestia Re 2023-1 Class A |
| d. CUSIP (if any).
| 42815KAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US42815KAB89 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3898018.130000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1178516701 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| High Point Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| High Point Re 2023-1 Class A |
| d. CUSIP (if any).
| 429932AA4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US429932AA44 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 23828000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 24383966.810000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7372185343 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Kilimanjaro III Re Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 254900T37LD5YQ545V53 |
| c. Title of the issue or description of the investment.
| Kilimanjaro III Re 2022-1 Class A |
| d. CUSIP (if any).
| 49407PAL4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US49407PAL40 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7515000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7680360.060000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2322060160 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-25 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Logistics Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Logistics Re 2024-1 Class A |
| d. CUSIP (if any).
| 54143LAB4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US54143LAB45 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1749898.500000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0529059778 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-12-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Matterhorn Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300QRZ77PO1BYWT39 |
| c. Title of the issue or description of the investment.
| Matterhorn Re Argon 2022-1 Class A |
| d. CUSIP (if any).
| 577092AR0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US577092AR05 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 999519.320000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0302192081 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-25 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2023 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2023-II Class 5 |
| d. CUSIP (if any).
| 76090WAC4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76090WAC47 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 16515000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 16973613.290000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.5131758261 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-12-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2022 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2022-I Class 14 |
| d. CUSIP (if any).
| 76119YAE3 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76119YAE32 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 12642000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 12451921.210000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3764681594 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Residential Reinsurance 2023 Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Residential Re 2023-I Class 13 |
| d. CUSIP (if any).
| 76133XAA5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76133XAA54 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13644000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13522159.080000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4088254538 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-06 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Riverfront Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Riverfront Re 2021 Class A |
| d. CUSIP (if any).
| 76870YAD4 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US76870YAD40 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10902000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10873698.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3287525802 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Sakura Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Sakura Re 2021-1 Class A |
| d. CUSIP (if any).
| 79381MAA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US79381MAA27 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 15080000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 15133051.440000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4575287560 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hudson Charles (Mt. Logan Re) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Hudson Charles 3 (Mt. Logan Re) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | HUDSONC3 |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 31639.470100000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 35185492.190000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.0637890538 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Madison (Artex Segregated Account Company) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Madison (Artex Segregated Account Company) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | MADISON |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5011.000000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 919467.430000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0277989400 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Hexagon IV Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 984500B4771ADC9FDE26 |
| c. Title of the issue or description of the investment.
| Hexagon IV Re 2023-1 Class B |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2711053632 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 1750000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1884671.170000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.0569806598 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-01-21 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Quercus Re DAC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 635400YNKWICCYBDBC76 |
| c. Title of the issue or description of the investment.
| Quercus Re DAC |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | XS2865536135 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2685000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
Euro Member Countries
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2880820.740000000000 |
| Exchange rate.
| .919330000000 |
| Percentage value compared to net assets of the Fund.
| 0.0870979878 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
IRELAND
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-07-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Aquila Re I Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Aquila Re I 2024-1 Class B-1 |
| d. CUSIP (if any).
| 037987AB0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US037987AB06 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 3508000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 3667642.060000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1108865397 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ashera Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Ashera Re 2024-1 Class A |
| d. CUSIP (if any).
| 04401RAA5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US04401RAA59 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5986000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6050436.300000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1829273233 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Bayou Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Bayou Re 2024-1 Class A |
| d. CUSIP (if any).
| 07304LAC5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US07304LAC54 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 14875000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 15596184.630000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4715310049 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-04-30 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Blue Halo Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Blue Halo Re 2022-1 Class B |
| d. CUSIP (if any).
| 095538AG9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US095538AG94 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 6552000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 6158876.720000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1862058829 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-02-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Catahoula II Re Pte. Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Catahoula Re II 2022-1 Class A |
| d. CUSIP (if any).
| 148805AA2 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US148805AA28 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13200000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 13965065.400000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4222161687 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
SINGAPORE
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-16 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Citrus Re Ltd |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300VWWT5SE805NK88 |
| c. Title of the issue or description of the investment.
| Citrus Re 2022-1 Class A |
| d. CUSIP (if any).
| 177510AK0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US177510AK05 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 5526000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 5625473.530000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.1700791091 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-06-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Eden Re II Segregated Account 2023-1 |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300LKX8PCP3SC3F42 |
| c. Title of the issue or description of the investment.
| Eden Re II 2023-1 Class B |
| d. CUSIP (if any).
| 27955GAB8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US27955GAB86 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 104160.210000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 1959799.670000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0592520754 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-03-19 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Everglades Re II Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 5493000EE11S6ONK0372 |
| c. Title of the issue or description of the investment.
| Everglades Re II 2024-1 Class C |
| d. CUSIP (if any).
| 30014LAP9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US30014LAP94 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 25439000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 26715783.410000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.8077180732 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-05-13 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| First Coast Re IV Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| First Coast Re IV 2023-1 Class A |
| d. CUSIP (if any).
| 31969UAA5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US31969UAA51 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 2000000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 2087505.000000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0631130853 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-04-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2024-1 Class A |
| d. CUSIP (if any).
| 33975CAP0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAP05 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 44113000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 45493736.900000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 1.3754458533 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-03-12 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| FloodSmart Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300KK1LNVFW95S875 |
| c. Title of the issue or description of the investment.
| FloodSmart Re 2024-1 Class B |
| d. CUSIP (if any).
| 33975CAQ8 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US33975CAQ87 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 11168000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 11303685.620000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3417527021 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-03-12 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Foundation Re VI Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Foundation Re 2023-1 Class A |
| d. CUSIP (if any).
| 349939AA6 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US349939AA62 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 10253000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 10550675.350000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.3189863847 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-08 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Gateway Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300ZYFWQV9RCIN520 |
| c. Title of the issue or description of the investment.
| Gateway Re 2023-1 Class A |
| d. CUSIP (if any).
| 36779CAC0 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US36779CAC01 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 13725000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 14770652.850000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.4465720910 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-02-24 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Ursa Re Ltd. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| 549300O8X4DWGDJZ6W59 |
| c. Title of the issue or description of the investment.
| Ursa Re 2023-3 Class AA |
| d. CUSIP (if any).
| 90323WAP5 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US90323WAP59 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 22436000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 23237144.690000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.7025458115 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2026-12-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XII Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XII 2021 Class B |
| d. CUSIP (if any).
| 92849VAB9 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92849VAB99 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 8715000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 8700445.950000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2630470284 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2025-01-07 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Vitality Re XIV Limited |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Vitality Re XIV 2023 Class A |
| d. CUSIP (if any).
| 92851QAA7 |
At least one of the following other identifiers:
| Identifier.
| ISIN |
| ISIN | US92851QAA76 |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 7417000.000000000000 |
| Units
|
Principal amount
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 7515312.340000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.2272160060 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Debt
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
CAYMAN ISLANDS
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date.
| 2027-01-05 |
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
NPORT-P: Part 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.
|
Item C.1. Identification of investment.
| a. Name of issuer (if any).
| Yoho (Artex Segregated Account Company) |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
| N/A |
| c. Title of the issue or description of the investment.
| Yoho (Artex Segregated Account Company) |
| d. CUSIP (if any).
| 000000000 |
At least one of the following other identifiers:
| Identifier.
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | YOHO |
| Description of other unique identifier.
| USER DEFINED |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units.
For derivatives contracts, as applicable, provide the number of contracts.
| Balance
| 39886.060000000000 |
| Units
|
Number of shares
|
| Description of other units.
| |
| Currency. Indicate the currency in which the investment is denominated.
|
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
| 440675.150000000000 |
| Exchange rate.
| |
| Percentage value compared to net assets of the Fund.
| 0.0133232583 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
|
Payoff profile.
|
Long
Short
N/A
|
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other,” provide a brief description.
|
Equity-preferred
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other,” provide a brief description.
|
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
BERMUDA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. | |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? |
Yes
No
|
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio
investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the
percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7
Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position
(rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report “N/A” if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
|
1
2
3
N/A
|
Item C.9. For debt securities
For debt securities, also provide:
b. Coupon.
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] |
Yes
No
|
| ii. Contingent convertible? [Y/N] |
Yes
No
|
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable).
| |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
|
a. Select the category that reflects the transaction (repurchase,
reverse repurchase). Select "repurchase agreement" if the Fund is
the cash lender and receives collateral. Select "reverse repurchase
agreement" if the Fund is the cash borrower and posts collateral.
|
Repurchase
Reverse repurchase
|
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. |
Yes
No
|
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? |
Yes
No
|
| d. Repurchase rate.
| |
| e. Maturity date.
| |
f. Provide the following information concerning the securities subject to the repurchase agreement
(i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those
securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
Item C.12. Securities lending.
| a. Does any amount of this investment represent
reinvestment of cash collateral received for loaned securities? |
Yes
No
|
| b. Does any portion of this investment represent
that is treated as a Fund asset and received for
loaned securities? |
Yes
No
|
| c. Is any portion of this investment on loan by the Fund? |
Yes
No
|
